You have the following market information: the risk-free rate of return is 3.66% and the market return is 7.89%. Your 60/40 model portfolio has the following statistics: a portfolio return of 7.68 %, a standard deviation of 5.22 %, and a beta of 1.17. What is the Sharpe ratio for this portfolio?

You have the following market information: the risk-free rate of return is 3.66% and the market return is 7.89%. Your 60/40 model portfolio has the following statistics: a portfolio return of 7.68 %, a standard deviation of 5.22 %, and a beta of 1.17. What is the Sharpe ratio for this portfolio?

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

Problem 1PS

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You have the following market information: the risk-free rate of return is 3.66% and the market return is 7.89%. Your
60/40 model portfolio has the following statistics: a portfolio return of 7.68 %, a standard deviation of 5.22 %, and a
beta of 1.17. What is the Sharpe ratio for this portfolio?

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