The data below represent expected returns and standard deviations estimated for a JP Morgan Emerging Market Bond ETF and an ETF indexed to the MSCI All Country World Index. Assume a correlation of .4. The risk-free rate is assumed to be zero.

Market Expected Return Standard Deviation

JPM 10.5% 13%

MSCI 17.2% 22%

Build an investment opportunity set using portfolio weights of 10% increments of each security.

What is the Sharpe ratio of the optimum portfolio (round to 2 decimal points)?

0.95

What is the standard deviation of the minimum variance portfolio (round to 2 decimal points)?

12.74%

How much of the JPM Emerging Market Bond ETF will you own in order to maximize your portfolios expected return?

0%

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