A pension fund manager is considering three mutual funds. The first in a stock fund The second is a long-term bond fund The third is a money market fund that provides a safe return of 5% The characteristics of the risky funds are as follows: Use this data for problems #5-09 5.00% Stock Fund Bond Fund Correlation (rho) 9224 6223 money market return 9123 Expected Return 28.00% What is the reward-to volatility ratio of the Optimal Capital Asset Line? This is the Sharpe Ratio. 20.00% -0.2000 Stdev 39.00% 26.00%

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 third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Stock fund (5) Bond fund (D) Expected Return 20% 12 The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 14%, and that it be efficient, that is, on the steepest feasible CAL a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) T-bill fund Stocks Bonda Standard Deviation 30% 15 Standard deviation 13.92% b. What is the proportion invested in the money market fund and each of the two risky funds? (Round your answers to 2 decimal places.) Proportion Invested

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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 bond fund, and the third is a money market fund that provides a safe return of 5%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 17% 13 Standard Deviation 38% 18 The correlation between the fund returns is 0.12. Sharpe ratio What is the Sharpe ratio of the best feasible CAL? Note: Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places.

You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2018 2019 2020 2021 2022 Fund -14.85% 25.1 12.9 7.2 -1.5 Market -29.5% 20.0 10.9 8.0 -3.2 Risk-Free 3% 5 2 5 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Answer is complete but not entirely correct. Sharpe ratio Treynor ratio 0.1613 2.8377

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) 17% 11% 32% 23% The correlation between the fund returns is 0.30. Required: What is the expected return and standard deviation for the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Round your answers to 2 decimal places.)

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You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97. Year 2015 2016 2017 2018 2019 Fund -17.0% Sharpe ratio Treynor ratio 25.1 13.3 6.4 -1.74 Market -33.5% 20.4 12.1 8.0 -3.2 Risk-Free 2% 6 2 5 3 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)

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 third is a money market fund that provides a safe return of 4%. The characteristics of the risky funds are as follows: Stock fund (S) Exp. Return Bond fund (B) 0.43 15% O 1.00 0.70 11% The correlation between the fund returns is 0.2. Solve numerically for the Sharpe Ratio of the optimal risky portfolio. 0.66 Std. Deviation 0.85 26% 12%