A university Endowment Fund is evaluated using Top Down and Bottom Up analysis, and against a 40 60 (Bonds Equity) benchmark The evaluation used the Fund and Benchmark performance over a 10 year period and the results are provided below in annualised terms Excess Returns and Volatility Average Excess returns above risk free Volatility Fund 14 3 25 6 Benchmark 12 9 16 9 Regression Results Alpha Standard error (Alpha) Beta Standard Error (Beta) Standard Deviation (Errors) Fund 1 27 0 95 1 7 4 65 19 Which one of the following statements is incorrect based on the performance of the portfolio against its benchmark a) The portfolio generated positive excess returns b) The portfolio manager had bad luck with their investments c) The tracking error of the fund is 19 d) The Information Ratio of the fund is 0 07 e) The Alpha from the regression is negative because the tracking error is high

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Question: A university Endowment Fund is evaluated using Top-Down and Bottom-Up analysis, and against a 40:60 (Bonds:Equity) benchmark. The evaluation used the Fund and Benchmark performance

A university Endowment Fund is evaluated using Top-Down and Bottom-Up analysis, and against a 40:60 (Bonds:Equity) benchmark. The evaluation used the Fund and Benchmark performance over a 10 year period and the results are provided below in annualised terms.

Excess Returns and Volatility:

	Average Excess returns above risk free	Volatility
Fund	14.3%	25.6%
Benchmark	12.9%	16.9%

Regression Results:

	Alpha	Standard error (Alpha)	Beta	Standard Error (Beta)	Standard Deviation (Errors)
Fund	-1.27%	0.95%	1.7	4.65%	19%

Which one of the following statements is incorrect based on the performance of the portfolio against its benchmark?

a) The portfolio generated positive excess returns

b) The portfolio manager had bad luck with their investments

c) The tracking error of the fund is 19%

d) The Information Ratio of the fund is -0.07

e) The Alpha from the regression is negative because the tracking error is high.

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