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?