Problem 13-4 Information Ratio (L01, CFA7) You are given the following informati

Question

Problem 13-4 Information Ratio (L01, CFA7) You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio 32.00% 27.00 17.00 22.00 1.40 1.10 0.75 1.00 15.00% 14.00 9.00 Market 10.30 Risk-free 4.20 Assume that the tracking error of Portfolio X is 7.40 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.) Information ratio

Explanation / Answer

Information ratio = (Rp-Ri)÷Sp-i

Rp = Return of the portfolio

Ri = Return of the index or benchmark

Sp-i = Tracking error

= (15%-10.30%)/7.40%

= 0.6351

Related Questions

Navigate

• Browse (All)
• Browse P
• Subjects

---