12. You manage an equity fund with an expected return of 16% and an expected standard deviation of 14%. The rate on Treasury bill is 6%. Your client chooses to invest 60% of her portfolio in your equity fund and 40% in a T-bill money market fund. What is the expected return and standard deviation of return on your clients portfolio?

Expected Return Standard Deviation of Returns

A) 8.4% 8.4%

B) 8.4% 14%

C) 12% 8.4%

D) 12% 14%

E) 14% 14%

_____ 13. What is the Sharpe (Reward-to-variability) ratio for the equity fund in Question 12?

A) .71

B) 1.00

C) 1.19

D) 1.91

E) 2.61