A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that ylelds a rate of 7%. The probability distribution of the risky funds Is as follows: Expected Standard Return Deviation Stock fund (S) 224 324 Bond fund (5) 12 19 The correlation between the fund returns is 0.1. What is the Sharpe ratio of the best feasible CAL? (Do not round Intermediate calculations. Enter your answers as decimals rounded to 4 places.) Sharpe ratio
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that ylelds a rate of 7%. The probability distribution of the risky funds Is as follows: Expected Standard Return Deviation Stock fund (S) 224 324 Bond fund (5) 12 19 The correlation between the fund returns is 0.1. What is the Sharpe ratio of the best feasible CAL? (Do not round Intermediate calculations. Enter your answers as decimals rounded to 4 places.) Sharpe ratio
Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)
7th Edition
ISBN:9780357033609
Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Chapter13: Investing In Mutual Funds, Etfs, And Real Estate
Section: Chapter Questions
Problem 2FPE
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![Problem 7-8
A penslon fund manager is considering three mutual funds. The first Is a stock fund, the second Is a long-term government and
corporate bond fund, and the third Is a T-bill money market fund that ylelds a rate of 7%. The probability distribution of the risky funds
Is as follows:
Standard
Deviation
Expected
Return
Stock fund (S)
22
328
Bond fund (B)
12
19
The correlation between the fund returns Is 0.1.
What Is the Sharpe ratio of the best feasible CAL? (Do not round Intermedlate calculatlons. Enter your answers as decimals rounded
to 4 places.)
Sharpe ratio](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F15075cbb-1585-4001-8b39-493310d05b8a%2F4f579f82-57a7-4d5a-a09a-b0fba8f4b60f%2F4i7gwiq_processed.png&w=3840&q=75)
Transcribed Image Text:Problem 7-8
A penslon fund manager is considering three mutual funds. The first Is a stock fund, the second Is a long-term government and
corporate bond fund, and the third Is a T-bill money market fund that ylelds a rate of 7%. The probability distribution of the risky funds
Is as follows:
Standard
Deviation
Expected
Return
Stock fund (S)
22
328
Bond fund (B)
12
19
The correlation between the fund returns Is 0.1.
What Is the Sharpe ratio of the best feasible CAL? (Do not round Intermedlate calculatlons. Enter your answers as decimals rounded
to 4 places.)
Sharpe ratio
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