Ex-Ante Information Ratio Assignment | Homework For You
May 26th, 2020
a. The Python Fund’s managers make active bets on 10 securities every quarter, and their forecasted alphas have a correlation with realized alphas of 0.20. Calculate the ex-ante information ratio (Fundamental Law of Active Management) for the Python Fund. (4 marks)
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b. Johnny Mac is an analyst who wants to compute the alpha on the Centric Fund for last month.
He has gathered the following information:
Centric Fund Return 8.00%
Risk-Free Rate 1.20%
Exposure to S&P 500 1.30
S&P 500 Return 4.50%
Calculate Centric Fund’s alpha for last month. (6 marks) Get Finance homework help today