Question: Question 6 5 Points B C D 3 A pension fund manager is considering 3 mutual funds. 4 The first is a stock fund, the

Question 6

5 Points

B

C

D

3

A pension fund manager is considering 3 mutual funds.

4

The first is a stock fund, the second is a corporate bond fund,

5

and the fhird is a Treasury Bill fund.

6

The rate of return on the T-Bill fund is

5.00%

7

You have the following data on the two risky funds:

8

Expected

Standard

9

Fund

Return

Deviation

10

Bond

8.0%

0.2400

11

Stock

28.0%

0.3800

12

Correlation Coefficient (rho)

-.8000

What is the Sharpe Ratio of the portfolio? Sharpe Ratio = (Erp - rf) / SD

Refer to previous problem for metrics already calculated.

Sharpe Ratio = 1.7934

Sharpe Ratio = 1.1821

Sharpe Ratio = 1.5479

Sharpe Ratio = 1.8213

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