Mock Exam Question - mean -variance improvement

CFA Level II Portfolio Management
#1

The last itemset in the second morning session: Fischer

Question 4: I don’t understand the solution, multiplying Sharpe ratio of asset 1 by the correlation of the two assets didn’t make sense to me, but I can memorize the formula and call it a day. I don’t know how they got to the 0.955 number though.

Anyone understand this?

#2

0.955 = difference between Sharpe ratio of Short Asset FOF and the product of PSMG and the correlation between PSMG and Short Asset FOF.