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A pension fund manager is considering three mutual funds. The first is a stock fund,...

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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 5.5%. The probability distributions of the risky funds are:

Expected Return Standard Deviation
Stock fund (S) 15% 32%
Bond fund (B) 9% 23%

The correlation between the fund returns is 0.15.

Required:

What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.)

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