- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 38. Analysis of Active Portfolio Management
- Subject 2. Comparing Risk and Return
CFA Practice 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%. The optimal level of risk is ______.
Correct Answer: 18.75%
STD(RA) = IR x STD(RB)/SRB = 0.5 x 15% / 0.4 = 18.75%
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