Consider a portfolio of US equities that is constructed to t…

Consider a portfolio of US equities that is constructed to track a benchmark portfolio. The returns of the two portfolios are given in the table below. The risk-free rate is 2%. T Rp% Rb% 1 9.1 9.7 2 7.2 7.4 3 6.8 7.2 4 2.2 3.1 5 4.6 4.4   What are the expected active return on the portfolio and the portfolio’s tracking error?

A pension portfolio manager is about to upgrade his performa…

A pension portfolio manager is about to upgrade his performance calculation software. Currently, his performance software will only calculate his performance on a quarterly basis. The quarterly performance numbers calculated on a money-weigh ted rate-of- return basis for the year 2017 are shown below. The portfolio benchmark has annual return of 4.2 percent and the market index has a return of 3.4 percent.            QUATER                 RETURN             1                               5.35%             2                               -2.34%             3                               4.62%             4                               1.25%   What is the return due to the portfolio manager’s style