Question: Statistics for three assets A B C are shown in the following tables: Asset A Asset B Asset C Standard deviation 20% 10% 20% Return

Statistics for three assets A B C are shown in the following tables:

Asset A

Asset B

Asset C

Standard deviation

20%

10%

20%

Return

10%

7%

10%

Condition of returns

Asset

A

B

C

A

1.00

-0.81

0.50

B

1.00

-0.65

C

1.00

On the basis of the information provided in the tables above, which of the following is FALSE?

  1. A portfolio composed of equal amounts of A&B has less risk than a portfolio having equal amounts of B&C. However, both portfolios will have the same return

  2. The risk of equal amounts of BC, C is less than the 10%

  3. The sharpe ratio of a portfolio comprised of equal amounts of A& B is less than a portfolio having equal amounts of B&C

  4. The return of equal amounts of B & C is 8.5%

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

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