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 rate of 5%. The probability distribution of the risky funds is as follows:
Expected Return | Standard Deviation | |||||
Stock fund (S) | 19 | % | 32 | % | ||
Bond fund (B) | 12 | 15 | ||||
The correlation between the fund returns is 0.11.
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.)
CALCULATE IN EXCEL AND SHOW FORMULAS
Please refer to below spreadsheet for calculation and answer. Cell reference also provided.
Cell reference -
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A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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 rate of 5%. The probability distribution of the risky funds is as follows: Expected Return 19% 12 Standard Deviation 32% 15 Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.11. What is the Sharpe ratio of the best...
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 rate of 4% The probability distribution of the risky funds is as follows: Expected Return 23% Standard Deviation 29% Stock fund (S) Bond fund (8) 14 17 The correlation between the fund returns is 0.12 What is the Sharpe ratio of the best...
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 rate of 6%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 17 % 38 % Bond fund (B) 12 17 The correlation between the fund returns is 0.13. What is the Sharpe ratio of...
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 rate of 6%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 16 % 35 % Bond fund (B) 12 15 The correlation between the fund returns is 0.13. What is the Sharpe ratio of...
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 rate of 6%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 17 % 38 % Bond fund (B) 12 17 The correlation between the fund returns is 0.13. What is the Sharpe ratio of...
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 rate of 4%. The probability distribution of the risky funds is as follows: Expected Return 24% 12 Standard Deviation 30% Stock fund (S) Bond fund (B) 19 The correlation between the fund returns is 0.13. What is the Sharpe ratio of the best...
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 rate of 7%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 18 % 35 % Bond fund (B) 15 20 The correlation between the fund returns is 0.12. What is the Sharpe ratio of...
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 rate of 4%. The probability distribution of the risky funds is as follows: 10 points Expected Return 24% 12 Standard Deviation 30% 19 Stock fund (S) Bond fund (B) eBook The correlation between the fund returns is 0.13. What is the Sharpe ratio...
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 rate of 7%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 18 % 35 % Bond fund (B) 15 20 The correlation between the fund returns is 0.12. What is the Sharpe ratio of...
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 4.2%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 12% 33% Bond fund (B) 5% 26% The correlation between the fund returns is 0.0308. What is the Sharpe ratio of the best feasible...