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 % 29
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | RP | P | P | ||
| X | 11 | % | 29 | % | 1.15 |
| Y | 11 | 24 | 1.10 | ||
| Z | 8 | 14 | 0.75 | ||
| Market | 10 | 19 | 1.00 | ||
| Risk-free | 5 | 0 | 0 | ||
Assume that the tracking error of Portfolio X is 8.5 percent. What is the information ratio for Portfolio X? (Do not round intermediate calculations. Round your answer to 4 decimal places.)
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Intermediate Financial Management
Authors: Eugene F Brigham, Phillip R Daves
14th Edition
0357516664, 978-0357516669
