Over the past five years your equity portfolio has returned 6.5% p.a. with a beta of .7
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Over the past five years your equity portfolio has returned 6.5% p.a. with a beta of .7 and an annualized volatility of 10%. The equity market benchmark has returned 7.5% p.a. with an annualized volatility of 14%, while the risk-free rate was 2%. What was the approximate realized information ratio of your portfolio over this five year period?
Related Book For
Money Banking and Financial Markets
ISBN: 978-0078021749
4th edition
Authors: Stephen Cecchetti, Kermit Schoenholtz
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