As reported by Liang (1999), US equity funds in three style categories had the following mean monthly returns, standard deviations of return, and Sharpe ratios during the period January 1994 to December 1996:

Basing your estimate of future-period monthly return parameters on the sample mean and standard deviation for the period January 1994 to December 1996, construct a 90 percent confidence interval for the monthly return on a large-cap blend fund. Assume fund returns are normally distributed.

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January 1994 to December 1996 Standard Deviation (%) 2.89 Mean Return (%) Sharpe Ratio Strategy Large-cap growth Large-cap value Large-cap blend 0.26 1.15 1.08 2.20 0.31 2.38 0.28 1.07