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 th is a money market fund that provides a safe return of 5%. The characteristics of the risky funds are as follows: Stock fund (5) Bond fund (8) Expected Return 22% 12 Sharpe ratio Standard Deviation 38% 16 The correlation between the fund returns is 0.10. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal round to 4 places.)
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 th is a money market fund that provides a safe return of 5%. The characteristics of the risky funds are as follows: Stock fund (5) Bond fund (8) Expected Return 22% 12 Sharpe ratio Standard Deviation 38% 16 The correlation between the fund returns is 0.10. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal round to 4 places.)
Essentials of Business Analytics (MindTap Course List)
2nd Edition
ISBN:9781305627734
Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Chapter5: Probability: An Introduction To Modeling Uncertainty
Section: Chapter Questions
Problem 30P: Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of...
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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 5%. The characteristics of the risky funds are as follows:
Stock fund (S)
Bond fund (8)
Expected Return
22%
12
Sharpe ratio
Standard Deviation
38%
16
The correlation between the fund returns is 0.10.
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal rounded
to 4 places.)](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F6d449353-5f22-4c59-9d6c-d3f30d9c41c4%2Fa821be8b-b436-4269-bf26-c9d0993f6370%2Ftiynvh_processed.jpeg&w=3840&q=75)
Transcribed Image Text: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 5%. The characteristics of the risky funds are as follows:
Stock fund (S)
Bond fund (8)
Expected Return
22%
12
Sharpe ratio
Standard Deviation
38%
16
The correlation between the fund returns is 0.10.
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal rounded
to 4 places.)
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