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Stock A Index Model regression Model 1.50% + 1.4 (Rm-Rf) R-Square 0.497 Residual Standard Deviation 11.00% Standard Deviation of excess returns 25.00% Rf 6% Rm
| Stock A | ||||
| Index Model regression Model | 1.50% | + | 1.4 | (Rm-Rf) |
| R-Square | 0.497 | |||
| Residual Standard Deviation | 11.00% | |||
| Standard Deviation of excess returns | 25.00% | |||
| Rf | 6% | |||
| Rm | 14% | |||
| Calculate information ratio for A: | ||||
| 0.14 | ||
| 0.26 | ||
| 0.33 | ||
| 0.06 |
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The Handbook Of Traditional And Alternative Investment Vehicles Investment Characteristics And Strategies
Authors: Mark J. P. Anson, Frank J. Fabozzi, Frank J. Jones
1st Edition
0470609737, 978-0470609736
