A manager manages a portfolio that has a return of 10% and a risk (volatility) of 20%. From the manager's association data obtained the following benchmark information: the return of 8% and risk of 14%. The correlation between portfolios is 0.98 and the real risk-free interest rate is 3%. The Information Ratio for this portfolio is ...

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
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A manager manages a portfolio that has a return
of 10% and a risk (volatility) of 20%. From the
manager's association data obtained the following
benchmark information: the return of 8% and risk
of 14%. The correlation between portfolios is 0.98
and the real risk-free interest rate is 3%. The
Information Ratio for this portfolio is ...
Transcribed Image Text:A manager manages a portfolio that has a return of 10% and a risk (volatility) of 20%. From the manager's association data obtained the following benchmark information: the return of 8% and risk of 14%. The correlation between portfolios is 0.98 and the real risk-free interest rate is 3%. The Information Ratio for this portfolio is ...
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