Compute the information ratio of jack portfolio

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Jack is a hedge fund manager whose equity portfolio consists of buying low beta stocks and selling (shorting) high beta stocks. Over the last 2 years his investment strategy has given an excess return of 10% (α). The variance of his portfolio was 0.0025 and his CAPM beta over the same period was 0.0. For the market the realized risk premium (excess return) was 5% and the variance of the market portfolio was 0.04 for the same period.

a. Compute the R-square of a regression of the excess returns of Jack's portfolio on the market excess returns.

b. Compute the Information Ratio of Jack's portfolio.

Reference no: EM133062449

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