Consider the (excess return) index-model regression results for stocks A. The risk-free rate over the period was 6%, and the market’s average return was 14%. Performance is measured using an index model regression on excess returns:
1% + 1. 2(r_M - r_f ) with an R2 of 0. 576 and residual standard deviations of 10. 3%.
What is the Information Ratio of Stock A?
0
0. 097
0. 117
0. 1
