Question
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,
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 4.8%. The probability distributions of the risky funds are:
| Expected Return | Standard Deviation | |
| Stock fund (S) | 18% | 38% |
| Bond fund (B) | 9% | 32% |
The correlation between the fund returns is 0.1313.
What is the Sharpe ratio of the best feasible CAL?
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 4.8%. The probability distributions of the risky funds are:
| Expected Return | Standard Deviation | |
| Stock fund (S) | 18% | 38% |
| Bond fund (B) | 9% | 32% |
The correlation between the fund returns is 0.1313.
What is the Sharpe ratio ?
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Fundamentals Of Financial Management
Authors: Eugene F. Brigham, Joel F. Houston
Concise 10th Edition
1337902578, 978-1337902571
