You are provided with annual return, standard deviation of returns, and tracking error to the relevant benchmark

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You are provided with annual return, standard deviation of returns, and tracking error to the relevant benchmark for three portfolios. Calculate the Sharpe ratio and information ratio for the three portfolios and rank them according to each measure.

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Global Investments

ISBN: 978-0321527707

6th edition

Authors: Bruno Solnik, Dennis McLeavey

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Question Posted: Mar 25, 2016 06:56 AM

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You are provided with annual return, standard deviation of returns, and tracking error to the relevant benchmark

Question:

Tracking Error 6.50% 8.00% 7.00% Portfolio Return 13.50% 16.25% 17.00% 13.00% 5.00% Standard Deviation 19.00% 24.00% 23.00% 20.00% Benchmark Risk-free

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Global Investments

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