Question $4$:

Consider the following data:

Expected Return Standard Deviation

Russell Fund $18\%12\%$

Windsor Fund $15\%10\%$

S&P Fund $9\%6\%$

The correlation between the returns on the Russell Fund and the S&P Fund is $0\mathrm{.}7.$ The rate on T$-$bills is $6\%.$ Which of the following portfolios would you prefer to hold in combination with T$-$bills and why?

i$)$ Russell Fund

ii$)$ Windsor Fund

iii$)$ S&P Fund

iv$)$ A portfolio of $30\%$ Russell Fund and $70\%$ S&P Fund.