Question: 12. Consider the following data: Expected Return Standard Deviation 12% 10% 8% Russell Fund Windsor Fund 14% S&P Fund The correlation between the returns on

12. Consider the following data: Expected Return Standard Deviation 12% 10% 8% Russell Fund Windsor Fund 14% S&P Fund The correlation between the returns on the Russell Fund and the S&P Fund is 0.7. The rate on T- bills is 6%, which of the following portfolios would you prefer to hold in combination with T- bills and why? (Hint: look at the sharp ratios 16% 12% (a) Russell Fund (b) Windsor Fund (c) S&P Fund (d) A portfolio of 60% Russell Fund and 40% S&P Fund

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