6. You estimate an S&P 500 index fund offers an expected rate of return of 10%...

 

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6. You estimate an S&P 500 index fund offers an expected rate of return of 10% with a standard deviation of 20%. You manage an active portfolio with expected return of 15% and a standard deviation of 35%. The risk- free rate is 4%. Draw the CML and CAL based on this information. Based on the Sharpe ratios, do you expect your fund to outperform the S&P 500? 6. You estimate an S&P 500 index fund offers an expected rate of return of 10% with a standard deviation of 20%. You manage an active portfolio with expected return of 15% and a standard deviation of 35%. The risk- free rate is 4%. Draw the CML and CAL based on this information. Based on the Sharpe ratios, do you expect your fund to outperform the S&P 500?