Sarah has completed some risk & return calculations for a portfolio that contains two assets, X and Y. She found that the portfolio had zero variance but both individual assets, X and Y, had positive standard deviations. Which of the following is FALSE? The two assets' returns must have a perfectly negative correlation. The portfolio has a zero standard deviation. One of the two assets in this portfolio must be a riskless asset. The portfolio exhibits strong diversification effects. None of the above Phil the Shill is trying to sell you an investment. Phil tells you that his investment pays an APR of 10% with quarterly compounding. What is the effective monthly rate of return that would yield the same EAR as that implied by Phil's quoted rate? 0.83% 0.85% 0.73% 0.78% None of the above