Consider the expected returns and standard deviations below for a 20 US Treasury Bond ETF and an ETF based on near-dated Bitcoin futures. The correlation coefficient of returns between these securities is -.2. Assume the risk-free rate is zero.

Market/Expected Return/Standard Deviation

UST 8% 8%

BITC 25.5% 32%

Build an investment opportunity set using portfolio weights of 10% increments of each security.

1) What is the Sharpe ratio of the optimum portfolio (round to 2 decimal points)?

2) What is the expected return on a portfolio of equally weighted holdings of each security (round to 2

decimal points)?

3) What is the standard deviation of a portfolio that holds 70% of the Bitcoin ETF (round to 2 decimal points