4. You have just gathered the following performance data for three different money man- agers, based on a regression of their excess returns relative to those for the S&P 500 In- dex. Each manager's performance was measured over the same three-year period, but the return period for each was different. Manager Alpha 0.058% 0.115 0.250 A B с Beta Std. Error of Regression Return Period 0.95 0.533% 1.12 5.884 0.78 2.165 Weekly Biweekly Monthly a. Calculate the information ratio for each manager, ignoring the difference in return re- porting periods. b. Calculate the annualized information ratio for each manager. c. Rank the managers' performance according to your answers in Parts a and b. Which manager performed the best? Explain.
4. You have just gathered the following performance data for three different money man- agers, based on a regression of their excess returns relative to those for the S&P 500 In- dex. Each manager's performance was measured over the same three-year period, but the return period for each was different. Manager Alpha 0.058% 0.115 0.250 A B с Beta Std. Error of Regression Return Period 0.95 0.533% 1.12 5.884 0.78 2.165 Weekly Biweekly Monthly a. Calculate the information ratio for each manager, ignoring the difference in return re- porting periods. b. Calculate the annualized information ratio for each manager. c. Rank the managers' performance according to your answers in Parts a and b. Which manager performed the best? Explain.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Transcribed Image Text:4. You have just gathered the following performance data for three different money man-
agers, based on a regression of their excess returns relative to those for the S&P 500 In-
dex. Each manager's performance was measured over the same three-year period, but the
return period for each was different.
Manager Alpha
0.058%
0.115
0.250
A
B
C
Beta
0.95
1.12
0.78
Std. Error of Regression Return Period
0.533%
5.884
2.165
Weekly
Biweekly
Monthly
a. Calculate the information ratio for each manager, ignoring the difference in return re-
porting periods.
b. Calculate the annualized information ratio for each manager.
c. Rank the managers' performance according to your answers in Parts a and b. Which
manager performed the best? Explain.
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