Required information [The following information applies to the questions displayed below.] 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 yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) Bond fund (B) 15% .9% The correlation between the fund returns is 0.15. 36% 27% Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe ratio
Required information [The following information applies to the questions displayed below.] 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 yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) Bond fund (B) 15% .9% The correlation between the fund returns is 0.15. 36% 27% Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe ratio
Essentials of Business Analytics (MindTap Course List)
2nd Edition
ISBN:9781305627734
Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson
Chapter3: Data Visualization
Section: Chapter Questions
Problem 6P: The file MutualFunds contains a data set with information for 45 mutual funds that are part of the...
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![Required information
[The following information applies to the questions displayed below.]
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 yields a sure rate of 5.5%. The probability
distributions of the risky funds are:
Stock fund (S)
Bond fund (B)
Expected Return
15%
Standard Deviation
36%
9%
27%
The correlation between the fund returns is 0.15.
Required:
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations.
Round your answer to 4 decimal places.)
Sharpe ratio](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F62dbeecd-24de-484d-b3d4-94fcddfe4627%2Fde81278c-a9a2-4142-b173-9f9e4977f60e%2Fmaexcc_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Required information
[The following information applies to the questions displayed below.]
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 yields a sure rate of 5.5%. The probability
distributions of the risky funds are:
Stock fund (S)
Bond fund (B)
Expected Return
15%
Standard Deviation
36%
9%
27%
The correlation between the fund returns is 0.15.
Required:
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations.
Round your answer to 4 decimal places.)
Sharpe ratio
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