CFA Practice Question

There are 136 practice questions for this study session.

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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