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[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:
The correlation between the fund returns is 0.10.
Required:
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations.
Round your answer to 4 decimal places.)
Expected Return Standard Deviation
Stock fund (S) 17% 40%
Bond fund (B) 11% 31%

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Required information Skip to question The following infor.pdf

  • 1. Required information Skip to question [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: The correlation between the fund returns is 0.10. Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Expected Return Standard Deviation Stock fund (S) 17% 40% Bond fund (B) 11% 31%