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Stock A has a beta of 0.92 with the relevant market return. The market return is 18%, and the market variance is 5%. Stock As
Stock A has a beta of 0.92 with the relevant market return. The market return is 18%, and the market variance is 5%. Stock As average annual return is 6% and its variance is 11%. Deconstruct the risk and return of Stock A into its unique and systematic risk and return. Calculate its information ratio. Comment on the alpha, beta and unique risk of Stock A and comment on what we can infer about the performance of Stock A from these measures. (20 marks)
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