The Expected Returns for Securities ABC and XYZ Are 8

Multiple Choice

The expected returns for Securities ABC and XYZ are 8% and 13%, respectively.The standard deviation is 12% for ABC and 18% for XYZ.There is no relationship between the returns on the two securities.The market return is 12.5% with a standard deviation of 16%.The risk-free rate is 5%.What is the Sharpe ratio of a portfolio with 40% of the funds in ABC and 60% in XYZ?

A) 0.47
B) 0.51
C) 0.75
D) 0.93