Suppose an analyst is valuing two markets. Market A is a dev…

Suppose an analyst is valuing two markets. Market A is a developed market, and Market B is an emerging market. The investor’s time horizon is five years. The other pertinent facts are:   Measure Value Sharpe ratio of the global portfolio 0.29 Standard deviation of the global portfolio 8% Risk-free rate of return 4.5% Degree of market integration for Market A 80% Degree of market integration for Market B 65% Standard deviation for Market A 18% Standard deviation for Market B 26% Correlation of Market A with global portfolio .87   Correlation of Market B with global portfolio .63   Estimated illiquidity premium for A 0   Estimated illiquidity premium for B 2.4   Referring to Table: What is the expected return in each market?

The information ratio of a US Fund for 2017 against the S&P…

The information ratio of a US Fund for 2017 against the S&P 500, its benchmark index, is 1. For the same time period, the fund’s Sharpe ratio is 2, the fund has a tracking error of 7% against the S&P 500, and the standard deviation of fund returns is 5%.  The risk-free rate·  in  the US is  4%.  Calculate the return for the S&P 500 during the time period