Question: 12. Consider the following data: The correlation between the returns on the Russell Fund and the S&P Fund is 0.7. The rate on Tbills is

12. Consider the following data: The correlation between the returns on

12. Consider the following data: The correlation between the returns on the Russell Fund and the S\&P Fund is 0.7. The rate on Tbills is 6%. Which of the following portfolios would you prefer to hold in combination with Tbills and why? (Hint: look at the sharp ratios) (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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