70.2K
Verified Solution
Link Copied!
Assume that you manage a fund with an expected rate of return of 26% and a standard deviation of 37%. The T-bill rate (risk-free rate) is 6%.
Client-A borrowed 20k at risk-free rate and combined it with 100k of their own cash to invest 120k in the fund.
What is the Sharpe ratio of client-A's position?
Enter the answer as a decimal to two decimal places (e.g. 12/100 = 0.12)
What are the expected return and the standard deviation of client-A's position? Round to 2 decimals.
Answer & Explanation
Solved by verified expert
