4. An endowment fund uses a core-satellite approach to allocate amongst different managers. The managers' active...

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4. An endowment fund uses a core-satellite approach to allocate amongst different managers. The managers' active risk, active return, and allocations (in endowment portfolio) are given in following table. What is (are) the investor's core position? Calculate the endowment fund's overall active return, active risk, and information ratio. If you do not have enough information to make the calculation, list the assumptions you need and the reasons. Passive Index Enhanced Indexing Active Manager A Active Manager B Active Manager C Expected Active Return 0.00% 0.70% 1.00% 2.00% 2.40% Expected Active Risk 0.00% 1.50% 2.50% 3.00% 4.20% Allocation 20% 30% 25% 15% 10% 4. An endowment fund uses a core-satellite approach to allocate amongst different managers. The managers' active risk, active return, and allocations (in endowment portfolio) are given in following table. What is (are) the investor's core position? Calculate the endowment fund's overall active return, active risk, and information ratio. If you do not have enough information to make the calculation, list the assumptions you need and the reasons. Passive Index Enhanced Indexing Active Manager A Active Manager B Active Manager C Expected Active Return 0.00% 0.70% 1.00% 2.00% 2.40% Expected Active Risk 0.00% 1.50% 2.50% 3.00% 4.20% Allocation 20% 30% 25% 15% 10%

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