A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return 15% Standard Deviation Stock fund (S) Bond fund (B) 32% 23% 9% The correlation between the fund returns is 0.15. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.)
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return 15% Standard Deviation Stock fund (S) Bond fund (B) 32% 23% 9% The correlation between the fund returns is 0.15. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.)
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Transcribed Image Text:A pension fund manager is considering three mutual funds. The first is a stock
fund, the second is a long-term government and corporate bond fund, and the
third is a T-bill money market fund that yields a sure rate of 5.5%. The
probability distributions of the risky funds are:
Expected Return
15%
9%
Standard Deviation
Stock fund (S)
Bond fund (B)
32%
23%
The correlation between the fund returns is 0.15.
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate
calculations. Round your answer to 4 decimal places.)
Sharpe ratio
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