A portfolio consists of the following two funds. Fund A Fund B S Invested $10,000 $15,000 Weight 40 % 60 % Exp Return 14 % 12 % Std Dev 25 % Beta 1.92 1.27 Corr(A,B) 0.28 Riskfree rate 2.95 % What is the Sharpe ratio of the portfolio? 0.648 0.721 0.798 0.422 0.547 What is the standard deviation of the returns on this stock? State of the Economy Probability E(R) Boom 0.22 24 % Normal 0.66 12 % Recession 0.12 -60% 24.08% 25.72% 26.90% 24.17% 23.94% What is the Treynor ratio of a portfolio comprised of 40 percent portfolio A, 25 percent portfolio B, and 35 percent portfolio C? Asset Dev Avg Return Std 15.30% 17.20% Weight Beta 40% 1.56 25% 0.95 35% 1.25 10.50% 9.80% 13.30% 14.10% The risk-free rate is 2.9 percent and the market risk premium is 8.6 percent. 0.102 0.062 0.054 0.081 0.070