Exact Sharpe of a linear timer with drift

Let $m_t = \mu + x_t$, $x_t\sim N(0,\sigma_x^2)$, $r_{t+1} = m_t + \varepsilon_{t+1}$, $\varepsilon$ independent with variance $\sigma_\varepsilon^2$, and P&L $\pi_{t+1} = m_t r_{t+1}$. (a) Show that $\mathrm{SR}^2 = (\mathbb E m^2)^2/(\mathbb E m^2\,\sigma_\varepsilon^2 + \mathbb E m^4 - (\mathbb E m^2)^2)$ with $\mathbb E m^4 = \mu^4 + 6\mu^2\sigma_x^2 + 3\sigma_x^4$. (b) Evaluate for $\mu = 0.15$, $\sigma_x^2 = 0.05$, $\sigma_\varepsilon^2 = 0.95$ and compare with $S^{*2}$ of (13.9). (c) Explain the gap in words.