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 rate of 5%. The probability distribution of the risky funds is as follows:
Expected Return | Standard Deviation | |||||
Stock fund (S) | 17 | % | 30 | % | ||
Bond fund (B) | 11 | 22 | ||||
The correlation between the fund returns is 0.10.
What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.)