Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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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 sure rate of 4.3% The probability distributions of the risky
funds are
Expected eturn
Standard Deviation
Stock fund (S)
Bond fund ()
348
378
The corelation between the fund returns is 0.0630.
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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Transcribed Image Text: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 4.3% The probability distributions of the risky funds are Expected eturn Standard Deviation Stock fund (S) Bond fund () 348 378 The corelation between the fund returns is 0.0630. 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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