You are evaluating the performance of a portfolio that invests
in two different bond ETFs: the PIMCO Total Return Active ETF
(BOND) and the Blackrock iShares 7-10-Year Treasury ETF (IEF). 75%
of the portfolio's money is invested in BOND. The remaining 25% of
the portfolio's money is invested in IEF. BOND has expected excess
returns of 3.85%; the standard deviation of BOND's returns is
3.82%. IEF has expected excess returns of 4.85%; the standard
deviation of IEF's returns is 6.38%. The correlation between the
returns of BOND and IEF is 0.60.
(a) What is the portfolio's expected excess return (Answer in
%)?
(b) What is the standard deviation of the portfolio's
returns (Answer in percent)?
(c) What is the Sharpe ratio of the portfolio's
returns?
You are evaluating the performance of a portfolio that invests in two different bond ETFs: the PIMCO Total Return Active
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