Question 15 Statistics for three assets A, B & C are shown in the following tables: Asset Table Asset A Asset B Asset C Standard Deviation 30% 15% 30% Return 22% 10% 22% Correlation of Returns Asset B A 1.00 0.0 0.50 B 1.00 0.75 1.00 On the basis of the information provided in the tables above, which of the following is FALSE? Hint: No calculations are required The correlation between A & B is less than that of B &C. O A portfolio comprised of equal amounts of A & Bhas less risk than a portfolio having equal amounts of B & C. However, both portfolios will have the same return The Sharpe Ratio of a portfolio comprised of equal amounts of A & B is higher than a portfolio having equal amounts of B & C. Since A & B are uncorrelated, it's possible to construct a portfolio comprising A & B that has zero risk