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Use the following table to answer questions below: calculate the information ratio and information coefficent Portfolio ABC XYZ Benchmark Annual return 12% 10% 10% Annualized
- Use the following table to answer questions below:
calculate the information ratio and information coefficent
| Portfolio | ABC | XYZ | Benchmark |
| Annual return | 12% | 10% | 10% |
| Annualized risk | 15% | 8% | 5% |
| Active risk | 5% | 3% |
|
| No Independent decisions | 20 | 8 |
|
| Transfer coefficient | 0.80 | 0.60 |
|
| Information Ratio | ? | ? |
|
| Information Coefficient | ? | ? |
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| Factor exposure | ABC | XYZ |
|
| Market | 1.08 | 0.84 |
|
| Size | -0.15 | 0.25 |
|
| Value | 0.04 | 0.30 |
|
| Momentum | 0.15 | -0.20 |
|
| Quality | 0.35 | 0.05 |
|
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