Use data on the 5 Fama and French risk factor mimicking portfolio (namely, of Mkt-RF, SMB, HML, RMW, CMA), available either from the website of Kenneth French or from the data files previously provided, to answer the next four (4) questions. The questions require the calculation of the Sharpe ratio of the tangency MV-efficient portfolio of these assets, with the weights of the assets in this portfolio calculated using sample estimates of the relevant moments of the distribution of their excess-returns. The sample period to be used in the estimation of the moments is specified in each question.

1. What is the in-sample annualized Sharpe ratio of the tangency portfolio in the sample period July 1963-February 2018, assuming that the asset excess-returns are i.i.d.?

1. 20%
2. 25%
3. 30%
4. 35%

2. What is the in-sample annualized Sharpe ratio of the tangency portfolio in the sample period January 1980-February 2018, assuming that the asset excess-returns are i.i.d.?

1. 20%
2. 25%
3. 30%
4. 35%

3. What is the in-sample annualized Sharpe ratio of the tangency portfolio in the sample period January 1990-February 2018, assuming that the asset excess-returns are i.i.d.?

1. 20%
2. 25%
3. 30%
4. 35%