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You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 12.5 % 38
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio | RP | P | P | ||
X | 12.5 | % | 38 | % | 1.45 |
Y | 11.5 | 33 | 1.15 | ||
Z | 9.4 | 23 | 0.80 | ||
Market | 11.9 | 28 | 1.00 | ||
Risk-free | 6.2 | 0 | 0 | ||
Assume that the correlation of returns on Portfolio Y to returns on the market is 0.89. What is the percentage of Portfolio Ys return that is driven by the market? (Round your answer to 4 decimal places.)
Information Ratio _____
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