What is the maximum sharpe ratio a manager can possibly achieve by combining the S&P benchmark with
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What is the maximum sharpe ratio a manager can possibly achieve by combining the S&P benchmark with that of actively managed Integro mutual?
Expected annual return | 10.0% | 11.5% |
Return standard deviation | 19.0% | 26.0% |
Sharpe ratio | 0.333 | 0.300 |
Active return | 1.2% | |
Active risk | 8.0% | |
Information ratio | 0.15 |
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Related Book For
Introduction to Operations Research
ISBN: 978-1259162985
10th edition
Authors: Frederick S. Hillier, Gerald J. Lieberman
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