1. Suppose you manage a risky portfolio with an expected return of 12%, a standard deviation of 25%, and a beta of 1.1. Suppose that the T-bill rate is 5% and the market index has an expected return of 10% and a standard deviation of 20%. The correlation between your portfolio and the market index is 0.88. Your client chose to invest 60% of her portfolio in your fund and the rest in the market index. What is the Sharpe measure for your clients portfolio?
   1. 0.2772
   2. 0.3571
   3. 0.0699
   4. 0.7145