If your maximum Sharpe ratio increased from 0.333 to 0.444 when adding a positive-alpha (open-ended) mutual fund to your portfolio, and the fund's idiosyncratic volatility was 15%, what was the fund's alpha? (report your answer rounded to the nearest 3 decimals -- eg., 0.8765 % --> 0.877, 0.8763 --> 0.876)

If your maximum Sharpe ratio increased from 0.333 to 0.444 when adding a positive-alpha (open-ended) mutual fund to your portfolio, and the fund's idiosyncratic volatility was 15%, what was the fund's alpha? (report your answer rounded to the nearest 3 decimals -- eg., 0.8765 % --> 0.877, 0.8763 --> 0.876)

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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