Required information [The following information applies to the questions displayed below.) 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 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (Ss) Bond fund (B) 176 328 11 238 The correlation between the fund returns is 0.30. Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Answer is complete but not entirely correct. Sharpe ratio 0.3594

FINANCIAL ACCOUNTING
10th Edition
ISBN:9781259964947
Author:Libby
Publisher:Libby
Chapter1: Financial Statements And Business Decisions
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Required information
[The following information applies to the questions displayed below.)
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 5.5%. The probability distributions of the risky funds are:
Expected Return
Standard Deviation
Stock fund (Ss)
Bond fund (B)
176
328
11
238
The correlation between the fund returns is 0.30.
Required:
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4
decimal places.)
Answer is complete but not entirely correct.
Sharpe ratio
0.3594
Transcribed Image Text:Required information [The following information applies to the questions displayed below.) 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 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (Ss) Bond fund (B) 176 328 11 238 The correlation between the fund returns is 0.30. Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Answer is complete but not entirely correct. Sharpe ratio 0.3594
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