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

Consider the following data:

	Expected Return	Standard Deviation
Russell 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 .7. The rate of return on Treasury Bills is 6%. Which of the following portfolios would you prefer to hold in combination with Treasury Bills and why? 1. Russell Fund 2. Windsor Fund 3. S&P Fund 4. A portfolio of 60% Russell Fund and 40% S&P Fund.

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