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 5.5%. The probability distributions of the risky funds are:
| Expected Return | Standard Deviation | |
| Stock fund (S) | 15% | 32% |
| Bond fund (B) | 9% | 23% |
|
| ||
The correlation between the fund returns is .15.
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.)
Sharpe ratio
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Financial Shenanigans How To Detect Accounting Gimmicks And Fraud In Financial Reports
Authors: Howard M. Schilit, Jeremy Perler, Yoni Engelhart
4th Edition
126011726X, 9781260117264
