Question: Statistics for three assets A, B & C are shown in the following tables: Asset Table Asset A Asset B Asset C Standard Deviation 20%

Statistics for three assets A, B & C are shown in the following tables: Asset Table Asset A Asset B Asset C Standard Deviation 20% 12% 20% Return 10% 7% 10% Correlation of Returns Asset A B C A 1.00 -0.25 0.50 B 1.00 -0.35 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

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