You have estimated the single index model ( SIM ) fund B and found that its alpha

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Question:

You have estimated the single index model

(

SIM

)

fund B and found that its alpha and beta are

0.035

and

1.1

respectively.

The standard deviation of Fund B

\'

s excess returns is

30 %

and the market portfolio excess returns have a standard deviation

of

20 % .

What\'s the information ratio of Fund B

?

Posted Date: May 13, 2024 02:51 AM

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