A Mutual Fund (MF) manager in Singapore is managing an equity portfolio E that has expected return of 6.5% and standard deviation of 4.5%. Due to the global COVID-19 crisis, he/she is trying to rebalance the portfolio by investing in the gold market where expected return on (spot) gold G is 0.4% and its standard deviation is 2.3%. The covariance between the equity portfolio E and the market (market portfolio) is 1.5% and the covariance between the spot gold G and the market (market portfolio) is -0.5%. Which of the following statement(s) is CORRECT? 1. The Mutual Fund manager can hold the market portfolio if he/she invests 40% in the equity portfolio E and 60% in the (spot) gold portfolio G. ii. If the Mutual Fund manager invests 40% in the equity portfolio E and 60% in the (spot) gold portfolio G, he/she should be holding the well-diversified portfolio. iii. If the Mutual Fund manager invests 40% in the equity portfolio E and 60% in the (spot) gold portfolio G, the total risk in the portfolio should be zero. ii O i and iii Oli and iii O None of the above A Mutual Fund (MF) manager in Singapore is managing an equity portfolio E that has expected return of 6.5% and standard deviation of 4.5%. Due to the global COVID-19 crisis, he/she is trying to rebalance the portfolio by investing in the gold market where expected return on (spot) gold G is 0.4% and its standard deviation is 2.3%. The covariance between the equity portfolio E and the market (market portfolio) is 1.5% and the covariance between the spot gold G and the market (market portfolio) is -0.5%. Which of the following statement(s) is CORRECT? 1. The Mutual Fund manager can hold the market portfolio if he/she invests 40% in the equity portfolio E and 60% in the (spot) gold portfolio G. ii. If the Mutual Fund manager invests 40% in the equity portfolio E and 60% in the (spot) gold portfolio G, he/she should be holding the well-diversified portfolio. iii. If the Mutual Fund manager invests 40% in the equity portfolio E and 60% in the (spot) gold portfolio G, the total risk in the portfolio should be zero. ii O i and iii Oli and iii O None of the above