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.

1. What is the return on your clients portfolio?
   1. 0.080
   2. 0.108
   3. 0.092
   4. 0.112
2. What is the Sharpe measure for your clients portfolio?
   1. 0.2772
   2. 0.3571
   3. 0.0699
   4. 0.7145