The Following Data Are Available Relating to the Performance of Long

The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: $$\begin{array} { l c c } & & \text { Market } \\& \text { Long Horn}& \text { Portfolio } \\\text { Average return } & 19 \% & 12 \% \\\text { Standard deviations of returns } & 35 \% & 15 \% \\\text { Beta } & 1.5 & 1.0 \\\text { Residual standard deviation } & 3.0 \% & 0.0 \% \\\end{array}$$ The risk-free return during the sample period was 6%. Calculate the information ratio for Long Horn Stock Fund.

A) 1.33
B) 4.00
C) 8.67
D) 31.43
E) 37.14

Correct Answer:

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