In: Finance
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 4.0%. The probability distributions of the risky funds are: |
Expected Return | Standard Deviation | |
Stock fund (S) | 10% | 32% |
Bond fund (B) | 7% | 24% |
The correlation between the fund returns is .1250. |
What is the reward-to-volatility ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) |
Reward-to-volatility ratio |
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