Question: 4) Consider the following data: Expected Return Standard Deviation Russsel Fund 16% 12% Windsor Fund 14% 10% S&P Fund 12% 8% The correlation between the

4) Consider the following data:

Expected Return Standard Deviation
Russsel Fund 16% 12%
Windsor Fund 14% 10%
S&P Fund 12% 8%

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?

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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