Maurice Tutor

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    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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    Phoniex University
    Oct-2001 - Nov-2016

Category > Management Posted 08 Jul 2017 My Price 11.00

manager outperform the index

  1. Consider the annual returns produced by two different active equity portfolio managers (A and B) as well as those to the stock index with which they are both compared:

 

Period

Manager A

Manager B

Index

1

12.8%

13.9%

11.8%

2

−2.1

−4.2

−2.2

3

15.6

13.5

18.9

4

0.8

2.9

−0.5

5

−7.9

−5.9

−3.9

6

23.2

26.3

21.7

7

−10.4

−11.2

−13.2

8

5.6

5.5

5.3

9

2.3

4.2

2.4

10

19.0

18.8

19.7

    1. Did either manager outperform the index, based on the average annual return differen- tial that he or she produced relative to the benchmark? Demonstrate.

    2. Calculate the tracking error for each manager relative to the index. Which manager did

a better job of limiting his or her client’s unsystematic risk exposure? Explain.

Answers

Maurice Tutor
(5)
Status NEW Posted 08 Jul 2017 10:07 AM My Price 11.00

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