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标题: [ 2009 FRM Sample Exam ] Investment Management Q2 [打印本页]

作者: lalamei 时间: 2009-6-13 11:17 标题: [ 2009 FRM Sample Exam ] Investment Management Q2

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

作者: lalamei 时间: 2009-6-13 11:21

Correct answer is C

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

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作者: binsi 时间: 2009-8-1 16:17

[em219]

作者: 水晶球 时间: 2009-8-4 15:16

好帖子

作者: xiaodouding 时间: 2009-8-29 14:43

顶

作者: longfeng 时间: 2009-9-5 15:07

顶

作者: dobino 时间: 2009-11-5 15:16

谢谢楼主

作者: alexbao 时间: 2010-3-10 22:07

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