A stock Fund produced the following Return 17.5% Std Dev = 22% Beta = 1.05 Tracking Error vs. S&P 500: 3.2% (annualized) Over the same period, T-Bills returned 5%; the S&P returned 15% and had a std Dev = 25- The Fund's Information Ratio adjusted for beta is:

A stock Fund produced the following Return 17.5% Std Dev = 22% Beta = 1.05 Tracking Error vs. S&P 500: 3.2% (annualized) Over the same period, T-Bills returned 5%; the S&P returned 15% and had a std Dev = 25- The Fund's Information Ratio adjusted for beta is:

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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Question

A stock Fund produced the following annualized results:
Return = 17.5%
Std Dev= 22%
Beta = 1.05
Tracking Error vs. S&P 500: 3.2% (annualized)
Over the same period, T-Bills returned 5%; the S&P returned 15% and had a std Dev = 25
The Fund's Information Ratio adjusted for beta is:
O 0.781
O 0.625
O 0.568
O 0.60
O 1.055

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