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Answer: 0.139
## Explanation ### Information Ratio Formula \[\text{Information Ratio (IR)} = \frac{\text{Portfolio Return} - \text{Benchmark Return}}{\text{Tracking Error}}\] ### Given Data - Portfolio return = 13.2% - Benchmark return = 12.3% - Tracking error volatility = 6.5% ### Calculation \[\text{IR} = \frac{13.2\% - 12.3\%}{6.5\%} = \frac{0.9\%}{6.5\%} = 0.13846\] ### Result \[\text{IR} \approx 0.139\] Therefore, the correct answer is **C. 0.139**.
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Q-80. A portfolio has an average return over the last year of 13.2%. Its benchmark has provided an average return over the same period of 12.3%. The portfolio's standard deviation is 15.3%, its beta is 1.15, its tracking error volatility is 6.5% and its semi-standard deviation is 9.4%. Lastly, the risk-free rate is 4.5%. Calculate the portfolio's information Ratio (IR).
A
0.569
B
0.076
C
0.139
D
0.096
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