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You have the following information: Stock A B C D E F Market Alpha 1% 2% 3% -2% 0.2% -1% 0% Beta 1.25 1.5 0.95

You have the following information:

Stock A B C D E F Market
Alpha 1% 2% 3% -2% 0.2% -1% 0%
Beta 1.25 1.5 0.95 1.72 1.85 2.1 1
Res. Variance 3.00% 2.00% 3.24% 6.00% 3.90% 9.00% 0.00%
Std.Dev 9% 15% 12% 11% 14% 8.06% 9%
Excess Return 7%

What is the Sharpe Ratio of the Single Index Model Portfolio?

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