Strategic Asset Allocation (SAA) constructed using a Mean Variance optimization process will result in all of the following,except:

Group of answer choices

The SAA will have the highest Information Ratio amongst all other portfolios with the same level of expected returns.

The SAA allocation will be biased if the inputs (expected returns and variance/covariance) are biased due to significant market crashes or bubbles.

The SAA will have the highest Shape Ratio amongst all other portfolios with the same volatility

The SAA will have a higher allocation to an asset with higher expected return than to an asset with lower expected return. Assume both assets have similar level of volatility and correlation with other assets.

The SAA will have higher allocation to assets with low positive (<0.2) or negative correlation with other assets in the SAA