A pension fund manager is considering three mutual funds. The first is a stock fund, the...
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A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fundthat yields a sure rate of 4.6%. The probability distributions ofthe risky funds are:
Expected Return Standard Deviation Stock fund (S) 16% 36% Bond fund (B) 7% 30%
The correlation between the fund returns is .0800.
What is the reward-to-volatility ratio of the best feasible CAL?(Do not round intermediate calculations. Round your answerto 4 decimal places.)
Reward-to-volatility ratio
A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fundthat yields a sure rate of 4.6%. The probability distributions ofthe risky funds are: |
| Expected Return | Standard Deviation | |
| Stock fund (S) | 16% | 36% |
| Bond fund (B) | 7% | 30% |
| The correlation between the fund returns is .0800. |
What is the reward-to-volatility ratio of the best feasible CAL?(Do not round intermediate calculations. Round your answerto 4 decimal places.) |
| Reward-to-volatility ratio |
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A pension fund manager is considering three mutual funds. Thefirst is a stock fund, the second is a long-term government andcorporate bond fund, and the third is a T-bill money market fundthat yields a sure rate of 4.6%. The probability distributions ofthe risky funds are: Expected ReturnStandard Deviation Stock fund (S)16% 36% Bond fund (B)7% 30% The correlation between the fund returns is .0800. What is the reward-to-volatility ratio of the best feasible CAL?(Do not round intermediate calculations. Round your answerto 4 decimal places.) Reward-to-volatility ratio
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