Jack is a hedge fund manager whose equity portfolio consists of buying low beta stocks and selling
Fantastic news! We've Found the answer you've been seeking!
Question:
Jack is a hedge fund manager whose equity portfolio consists of buying low beta stocks and selling (shorting) high beta stocks. Over the last 2 years his investment strategy has given an excess return of 10% (α). The variance of his portfolio was 0.0025 and his CAPM beta over the same period was 0.0. For the market the realized risk premium (excess return) was 5% and the variance of the market portfolio was 0.04 for the same period.
a. Compute the R-square of a regression of the excess returns of Jack's portfolio on the market excess returns.
b. Compute the Information Ratio of Jack's portfolio.
Related Book For
Accounting Tools for business decision making
ISBN: 978-0470095461
4th Edition
Authors: kimmel, weygandt, kieso
Posted Date: