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A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 4%. The characteristics of the risky funds are as follows:
Expected Return | Standard Deviation | |
---|---|---|
Stock fund (S) | 22% | 37% |
Bond fund (B) | 14 | 23 |
The correlation between the fund returns is 0.10.
What is the Sharpe ratio of the best feasible CAL?
Note: Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places.
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