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Basic Question 12 of 13
Continue from the previous question. The actively managed portfolio has an information ratio of 0.5 and active risk of 10%. The benchmark portfolio has a Sharpe ratio of 0.4 and total risk of 15%. If the actively managed portfolio is constructed with the optimal level of risk (18.75%), the total expected excess return of this portfolio will be ______.
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I was very pleased with your notes and question bank. I especially like the mock exams because it helped to pull everything together.
Martin Rockenfeldt
Learning Outcome Statements
calculate and interpret the information ratio (ex post and ex ante) and contrast it to the Sharpe ratio;
CFA® 2025 Level II Curriculum, Volume 6, Module 38.