12. You are provided the monthly returns data for an investment fund and its benchmark for the last five months. The fund returned 2.2%, 0.7%, 1.7%, 1.2%, and -1.9% in these five months respectively....

12.

You are provided the monthly returns data for an investment fund and its benchmark for the last five months. The fund returned 2.2%, 0.7%, 1.7%, 1.2%, and -1.9% in these five months respectively. The benchmark returned 1.5%, 0.4%, 0.4%, 0.5%, and -1.0% in the corresponding five months. The risk-free asset has an effective annual return (EAR) of 1% during these five months. The beta of the fund is 0.6656. What is the Information Ratio of the fund using annualized numbers?

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