Question: Statistics for three assets A, B & C are shown in the following tables: Asset Table Asset A Asset B Asset C Standard Deviation 30%

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

A

B

C

A

1.00

-0.25

0.50

B

1.00

0.10

C

1.00

On the basis of the information provided in the tables above, which of the following is TRUE? Hint: No calculations are required

Group of answer choices

A portfolio comprised of equal amounts of A & B has greater 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 the same as the Sharpe ratio of a portfolio comprised of equal amounts of B & C since their returns and risks are the same.

A portfolio comprising A & B in any proportion (between 0% & 100%) will always have a return between 10% and 22%.

The correlation between A & B is greater than that of B & C.

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