Question: Upon estimating Index Model for an actively managed fund ABC in Excel, you see the following regression output. Standard Error = 0.045 Intercept = 0.01

Upon estimating Index Model for an actively managed fund ABC in Excel, you see the following regression output.

Standard Error = 0.045

Intercept = 0.01 (t-statistic 0.34)

X1 Variable = 0.85 (t-statistic 5.18)

Which of the following statements is true regarding the calculation of Information Ratio?

a.

Information Ratio = 0.85/0.045 = 18.89
b.

Information Ratio = 0.01/0.045 = 0.22
c.

Information Ratio = 0.85/5.18 = 0.16
d.

Information Ratio = 0.01/0.34 = 0.029

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