son.3 You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:RpOpBp13.60%34.00%1.2529.001.100.701.000PortfolioXYZMarketRisk-free12.609.3011.505.00Information ratio19.0024.000Assume that the tracking error of Portfolio X is 7.60 percent. What is the information ratio for Portfolio X?Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4decimal places.

Alpha= Portfolio return - Expected return= Rp - (Rf + B*(Rm-Rf))= 13.6%-(5%+1.25*(11.5%-5%))= 0.475%

You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp Op Bp 13.60% 1.25 34.00% 29.00 19.00. 12.60 9.30 1.10 0.70 11.50 24.00 1.00 5.00 0 Y Z Market Risk-free Assume that the tracking error of Portfolio X is 7.60 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.

You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp Op Bp 13.60% 1.25 34.00% 29.00 19.00. 12.60 9.30 1.10 0.70 11.50 24.00 1.00 5.00 0 Y Z Market Risk-free Assume that the tracking error of Portfolio X is 7.60 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Y Z Market Risk-free Rp 16.00% бр 32.00% 15.00 27.00 7.30 17.00 11.30 5.80 22.00 0 Bp 1.90 1.25 0.75 1.00 0 Assume that the tracking error of Portfolio X is 13.40 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places. Information ratio
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: 8p 1.70 1.30 0.85 1.00 Portfolio X Y Z Market Risk-free Rp 11.5% 10.5 7.2 10.9 4.6 R-squared op 38.00% 33.00 23.00 28.00 0 Assume that the correlation of returns on Portfolio Y to returns on the market is 0.76. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places.
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 11.0% ор 33.00% 10.0 28.00 8.1 10.4 5.2 18.00 23.00 Ө вр 1.45 1.20 0.75 1.00 Ө Assume that the correlation of returns on Portfolio Y to returns on the market is 0.66. What percentage of Portfolio Y's return is driven by the market? Note: Enter your answer as a decimal not a percentage. Round your answer to 4 decimal places. R-squared
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