A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.6%. The probability distributions of the riskyfunds are:Standard DeviationExpected Return178Stock fund (S)Bond fund (B)46840The correlation between the fund returns is 0.0600.What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.)Sharpe ratio

WHAT IS A SHARP RATIO? The Sharpe proportion was created by Nobel laureate William F. Sharpe and is…

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 5.6%. The probability distributions of the risky funds are: Expected Return 178 Standard Deviation Stock fund (S) 46 Bond fund (8) 40% The correlation between the fund returns is 0.0600. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe ratio

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 5.6%. The probability distributions of the risky funds are: Expected Return 178 Standard Deviation Stock fund (S) 46 Bond fund (8) 40% The correlation between the fund returns is 0.0600. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe ratio

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

Problem 1PS

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A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 4%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 19 % 34 % Bond fund (B) 10 18 The correlation between the fund returns is 0.11. What is the Sharpe ratio of the best feasible CAL?
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