[ 2009 FRM Sample Exam ] Investment Management Q2 Investment, average, period, return, error

lalamei

 

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

alexbao

3x3x3x3x3x3xx3

dobino

谢谢楼主

longfeng

顶

xiaodouding

顶

水晶球

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binsi

[em219]

lalamei

 

Correct answer is C

 

 [attach]13801[/attach]

 

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