Assume the CAPM market portfolio (or, the tangency portfolio in Markowitz optimization) has an average...
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Assume the CAPM market portfolio (or, the tangency portfolio in Markowitz optimization) has an average return of 0.15 with a standard deviation of 0.25. The portfolio you managed for DESB Capital has an average return of 0.18 with a standard deviation of 0.4. You also know that your portfolio has a CAMP beta of 1.2 and a tracking error of 0.1. What is the M2M2 measure of your portfolio? (Express your answer in non percentage term with 4 decimal points, i.e. if your answer is 12.345678%, write down 0.1235.)
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