6. Portfolio A is composed of 2 stocks with a correlation of 0.5. Portfolio B is also composed of two stocks, but with a correlation of 0.4. The standard deviation of the rates of return of all the stocks in the two portfolios is 0.3. Both Portfolios also have the same correlation with the market portfolio. According to the CAPM, which portfolio has a higher expected return? A. Portfolio A B. Portfolio B C. A and B will have the same expected return D. More information is needed 7. In a regression of the monthly excess returns on XYZ with the monthly excess return on the SPY ETF you found that the intercept is 0.5% and the slope is 1.5. Based on this relationship, if in a given month, the excess return on the market is 1% and the excess return on XYZ is 2%, then the a abnormal return on XYZ is A. 0.5% B. 0.25% C.-0.25% D.-0.5% E. there is no abnormal return