Question: Stocks X, Y & Z have the same expected return and risk. The correlation of returns of these stocks are shown in the table below.

Stocks X, Y & Z have the same expected return and risk. The correlation of returns of these stocks are shown in the table below.

Stock X

Stock Y

Stock Z

Stock X

+1.0

Stock Y

+0.05

+1.0

Stock Z

+0.25

+0.12

+1.0

Given these correlations, which of the below has the highest Sharpe ratio?

Group of answer choices

Equal proportions of X & Y

Can't tell from the information provided - need to know the return and risk of each stock

Equal proportions of Y & Z

Equal proportions of X & Z

100% invested in either X, Y or Z

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