Solve it correctly please. A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the thirdis a money market fund that provides a safe return of 6%. The characteristics of the risky funds are as follows:Expected Return248Standard DeviationStock fund (S)Bond fund (B)3381422The correlation between the fund returns is 0.14.What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal roundedto 4 places.)Sharpe ratio0.6208 X

Risk free rate = 6% Correlation between fund return = 0.14 Expected return on stock fund = 24%…

Answered: A pension fund manager is considering…

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 5P

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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 rate of 4%. The probability distribution of the risky funds is as follows: Expected return Standard Deviation Stock fund 22% 37% Bond Fund 14 23 The correlation between the fund returns is 0.10. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.)
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