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 6%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 21% 12 Standard Deviation 28% 18 The correlation between the fund returns is 0.09. Sharpe ratio 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.)
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 6%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 21% 12 Standard Deviation 28% 18 The correlation between the fund returns is 0.09. Sharpe ratio 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.)
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 6%. The characteristics of the risky funds are as follows:
Stock fund (S)
Bond fund (B)
Expected Return
21%
12
Standard Deviation
28%
18
The correlation between the fund returns is 0.09.
Sharpe ratio
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%2F8975c8e7-3336-4945-ab1a-410de2c3e464%2Faf18232d-5576-48eb-8024-4f04b99d3ae1%2Fb9e3loo_processed.png&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 6%. The characteristics of the risky funds are as follows:
Stock fund (S)
Bond fund (B)
Expected Return
21%
12
Standard Deviation
28%
18
The correlation between the fund returns is 0.09.
Sharpe ratio
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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