What information ratio could a sponsor achieve by employing

Assignment Help Portfolio Management

Reference no: EM13925503

Manager A is a stock picker. He follows 250 companies, making new forecasts each quarter. His forecasts are 2 percent correlated with subsequent residual returns. Manager B engages in tactical asset allocation, timing four equity styles (value, growth, large, small) every quarter. What must Manager B's skill level be to match Manager A's information ratio? What information ratio could a sponsor achieve by employing both managers, assuming that Manager B has a skill level of 8 percent?

Reference no: EM13925503

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