What is the sharpe ratio of the tanglewood fund

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Reference no: EM131978856

In addition to risk-free securities, you are currently invested in the Tanglewood Fund, a broad-based fund of stocks and other securities with an expected return o 14% and a volatility of 27%. Currently, the risk-free rate of interest is 4%. Your broker suggests that you add a venture capital fund to your current portfolio. The venture capital fund has an expected return of 19% a volatility of 81% and a correlation of 0.2 with the Tanglewood Fund. Assume you follow your broker's advice and put 50% of your money in the venture fund:

a. What is the Sharpe ratio of the Tanglewood Fund?

b. What is the Sharpe ratio of your new portfolio?

c. What is the optimal Sharpe ratio you can obtain by investing in the venture fund?

Reference no: EM131978856

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