Problem 6-15 You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 36%. The T-bill rate is 6%. Your client chooses to invest 75% of a portfolio in your fund and 25% in a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? Your client's? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Your reward-to-volatility ratio Client's reward-to-volatility ratio
Problem 6-15 You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 36%. The T-bill rate is 6%. Your client chooses to invest 75% of a portfolio in your fund and 25% in a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? Your client's? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Your reward-to-volatility ratio Client's reward-to-volatility 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
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Transcribed Image Text:Problem 6-15
You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 36%. The T-bill rate is 6%. Your client
chooses to invest 75% of a portfolio in your fund and 25% in a T-bill money market fund.
What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? Your client's? (Do not round intermediate calculations. Round
your answers to 4 decimal places.)
Your reward-to-volatility ratio
Client's reward-to-volatility ratio
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