You are evaluating the performance of a portfolio that invests in two different bond ETFs: the PIMCO Total Return Active

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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%. Now, suppose that the
correlation between the returns of BOND and IEF drops to
0.10.
(a) What is the new expected excess return for the portfolio
(Answer in percent)?
(b) What is the new standard deviation of the portfolio's
returns (Answer in percent)?
(c) What is the new Sharpe ratio of the portfolio's
returns?