You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:Op1.451.200.751.00Portfolio:XYZMarketRisk-freeRp11.00%10.008.1010.405.20Information ratioOp33.00%28.0018.0023.000Assume that the tracking error of Portfolio X is 9.10 percent. What is the information ratio for Portfolio X?Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4decimal places.021480

Alpha= Portfolio return - Expected return= Rp - (Rf + Bp*(Rm-Rf))= 11% -…

You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio. Z Market Risk-free 11.00% 10.00 8.10 10.40 5.20 op 33.00% 28.00 18.00 23.00 0 1.45 1.20 0.75 1.00 0 Assume that the tracking error of Portfolio X is 9.10 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.

You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio. Z Market Risk-free 11.00% 10.00 8.10 10.40 5.20 op 33.00% 28.00 18.00 23.00 0 1.45 1.20 0.75 1.00 0 Assume that the tracking error of Portfolio X is 9.10 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 6P

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