2. Portfolio D has an average return over the last year of 13.7% with volatility of 15.2%. Over the same period, the benchmark portfolio has an average return of 12.8% with volatility of 14.6%. Portfolio D's beta is 1.25, and its tracking error was 7%. Assume the risk-free rate is 5%. What is portfolio D's Information Ratio (IR)?

0.2951

0.7200

0.1286

0.5724

Correct answer is C

 [attach]13801[/attach]

IR =  (0.137 ? 0.128) / 0.07 =  0.1286fficeffice" />

好帖子