Suppose the stock market in the US has an expected return of 6%, and a standard deviation of expected return of 8%. The stock market in Germany has an expected return of 16% and a standard deviation of expected return of 10%. Assume you have a portfolio with 60% invested in the US and 40% invested in Germany.

question:

Now suppose that the mean of monthly returns in the US is 1.67% with a standard deviation of 4.87%, while the mean of the monthly returns in the Germany is 2.02% with a standard deviation of 7.64%. Assuming that the monthly risk-free rate is 0.40%, calculate the Sharpe performance measures for the US and Germany as well as the performance ranks.