7. (12 pts) Given the information below, compute the Sharpe ratio and Information ratio for a fund with: Annualized fund
Posted: Thu May 05, 2022 7:59 am
7. (12 pts) Given the information below, compute the Sharpe
ratio and Information ratio for a fund with:
Annualized fund return: 8.35%
Annualized benchmark return: 6.43%
Annualized risk-free return: 1.26%
Annualized standard deviation of fund returns: 13.5%
Annualized tracking error/active risk of fund vs. benchmark:
4.81%
ratio and Information ratio for a fund with:
Annualized fund return: 8.35%
Annualized benchmark return: 6.43%
Annualized risk-free return: 1.26%
Annualized standard deviation of fund returns: 13.5%
Annualized tracking error/active risk of fund vs. benchmark:
4.81%