Intro Part $5$

Attempt $3/10$ for $10$ pts$.$

What is the $M^2$ measure?

Previous answers: $0\mathrm{.}1208$;$0\mathrm{.}1775$

You've collected the following historical information:

Return on risky portfolio: $13\%$

Beta of risky portfolio: $0\mathrm{.}9$

Standard deviation of returns: $24\%$

Residual standard deviation $($tracking error$)$: $40\%$

Treasury bill rate: $2\%$

Return on S&P $500$: $5\mathrm{.}7\%$

Standard deviation of returns on S&P $500$: $22\%$

Your job is to evaluate the performance of the risky portfolio.