Consider the following table which provides a comparison of the returns for a portfolio and its benchmark.
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Question:
Consider the following table which provides a comparison of the returns for a portfolio and its benchmark. Note: the numbers in red are negative
Year | Portfolio Return | Benchmark Return |
0 |
|
|
1 | 22.65% | 22.59% |
2 | 8.97% | 9.08% |
3 | -32.51% | -30.44% |
4 | 23.07% | 18.87% |
5 | 49.66% | 46.22% |
Return |
|
|
Alpha |
|
|
Sum |
|
|
Tracking Error |
|
|
Information Ratio |
|
|
Required
1) Calculate the annualised return of the portfolio and the benchmark in percentage terms to 2 decimal places
2) Calculate the portfolio alpha in percentage terms to 2 decimal places
3) Calculate the tracking error of the portfolio in percentage terms to 2 decimal places
4) Calculate the information ratio of the portfolio to 2 decimal places
Related Book For
Introduction to Operations Research
ISBN: 978-1259162985
10th edition
Authors: Frederick S. Hillier, Gerald J. Lieberman
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