Question
What is the information ratio of TOM using the Barclay Index as the benchmark? Annualized Return Annualized Volatility Max Drawdown Max Drawdown (Volatility- Annual Sharpe
What is the information ratio of TOM using the Barclay Index as the benchmark?
Annualized Return Annualized Volatility Max Drawdown Max Drawdown (Volatility- Annual Sharpe Ratio Regression statistics[]; Alpha t-stat Beta t-stat R-Square Al (Net of Fees) 1.23% 4.83% -5.44% -5.44% 0.25 Parker Index (Excess Returns)[] -1.58% 6.09% -12.24% -9.75% -0.26 0.0017 1.14 0.5186 5.99 0.4279 Barclay Index (Excess Returns) [1] -1.29% 3.62% -10.90% -14.34% -0.36 0.0021 1.54 0.9697 7.32 0.5273
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown, Sanford J. Leeds
11th Edition
1305262999, 1305262997, 035726164X, 978-1305262997
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