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Category > Business & Finance Posted 20 Jun 2017 My Price 12.00

4. You have just gathered the following performance data

4.      You have just gathered the following performance data for three different money man- agers, based on a regression of their excess returns relative to those for the S&P 500 In- dex. Each manager’s performance was measured over the same three-year period, but the return period for each was  different.

 

Manager

Alpha

Beta

Std.  Error  of Regression

Return Period

A

0.058%

0.95

0.533%

Weekly

B

0.115

1.12

5.884

Biweekly

C

0.250

0.78

2.165

Monthly

a.    Calculate the information ratio for each manager, ignoring the difference in return re-

porting periods.

b.    Calculate the annualized information ratio for each   manager.

c.    Rank the managers’ performance according to your answers in Parts a and b. Which manager performed the best?  Explain.

 

 

 

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Status NEW Posted 20 Jun 2017 06:06 AM My Price 12.00

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