Calculate the annualized alpha, tracking error, and information ratio based on the 12 monthly returns that follows:

Question:

Month Active Return % 1 2 3 4 5 6 7 8 9 10 11 12 0.37 -0.31 -0.55 0.09 0.37 -0.05 -0.62 0.06 0.46 -0.09 0.58

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The Theory And Practice Of Investment Management

ISBN: 9780470929902

2nd Edition

Authors: Frank J Fabozzi, Harry M Markowitz

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Question Posted: Dec 19, 2023 01:35 AM

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Calculate the annualized alpha, tracking error, and information ratio based on the 12 monthly returns that follows:

Question:

Month Active Return % 1 2 3 4 5 6 7 8 9 10 11 12 0.37 -0.31 -0.55 0.09 0.37 -0.05 -0.62 0.06 0.46 -0.09 0.58 0.84

Step by Step Answer:

1 Calculate the average monthly return AMR AMR 2 Active Return 12 2 Calculate the ac...View the full answer

The Theory And Practice Of Investment Management

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