Problem 6 10 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 3 0 The probability distributions of the risky funds are Expected Return Standard Deviation Stock fund ( S ) 12 41 Bond fund ( B ) 5 30 The correlation between the fund returns is 0 0667 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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Question: Problem 6-10 A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate

Problem 6-10

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 3.0%. The probability distributions of the risky funds are:

	Expected Return	Standard Deviation
Stock fund (S)	12%	41%
Bond fund (B)	5%	30%

The correlation between the fund returns is 0.0667.

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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