Question
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R p p p X 11.50 % 38.00
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | Rp | p | p | ||
| X | 11.50 | % | 38.00 | % | 1.70 |
| Y | 10.50 | 33.00 | 1.30 | ||
| Z | 7.20 | 23.00 | .85 | ||
| Market | 10.90 | 28.00 | 1.00 | ||
| Risk-free | 4.60 | 0 | 0 | ||
Assume that the tracking error of Portfolio X is 7.50 percent. What is the information ratio for Portfolio X? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.)
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Cornerstones Of Financial Accounting
Authors: Bertrand Piccard, Jay Rich, Jeff Jones, Maryanne Mowen, Don Hansen, Nick Jones
1st Edition
0324657730, 9780324657739
