Calculate the annualized information ratio for each manager

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Reference no: EM13923317

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 reporting 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.

Reference no: EM13923317

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