The following table repeats the annual total returns on the MSCI Germany Index previously given and also gives the annual total returns on the JP Morgan Germany five- to seven-year government bond index (JPM 5-7 Year GBI, for short). During the period given in the table, the International Monetary Fund Germany Money Market Index (IMF Germany MMI, for short) had a mean annual total return of 4.33 percent.

A. Using the IMF Germany MMI as a proxy for the risk-free return, calculate the Sharpe ratio for:
I. The 60/40 equity/bond portfolio described in Problem 12.
II. The MSCI Germany Index.
III. The JPM Germany 5-7 year GBI.
B. Contrast the risk-adjusted performance of the 60/40 equity/bond portfolio, the MSCI Germany Index, and the JPM Germany 5-7 Year GBI, as measured by the Sharpe ratio.

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JPM Germany 5-7 Year GBI (%) MSCI Germany Index (%) Year 15.74 46.21 1993 1994 -3.40 -6.18 8.04 1995 18.30 22.87 8.35 1996 45.90 1997 6.65 1998 20.32 12.45 41.20 1999 -2.19 2000 -9.53 7.44 5.55 2001 -17.75 -43.06 2002 10.27