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Simon manages the HSUs endowment fund and is considering adding Hang Seng Capital hedge fund to its portfolio. HSUS current portfolio has a Sharpe ratio

Simon manages the HSUs endowment fund and is considering adding Hang Seng Capital hedge fund to its portfolio. HSUS current portfolio has a Sharpe ratio of 0.70 and Hang Seng Capital hedge fund has a Sharpe Ratio of 0.50 with a correlation of 0.35 to HSUs current portfolio. Should Simon add the Hang Seng Capital hedge fund to HSUs portfolio? (Note Sharpe = (E(Rm) Rf) /m) (15 Marks)

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