Question
Consider the following data: Expected Return Standard Deviation Russell Fund 16% 12% Windsor Fund 14% 10% S&P Fund 12% 8% The correlation between the returns
Consider the following data:
| Expected Return | Standard Deviation | |
| Russell Fund | 16% | 12% |
| Windsor Fund | 14% | 10% |
| S&P Fund | 12% | 8% |
The correlation between the returns on the Russell Fund and the S&P Fund is .7. The rate of return on Treasury Bills is 6%. Which of the following portfolios would you prefer to hold in combination with Treasury Bills and why? 1. Russell Fund 2. Windsor Fund 3. S&P Fund 4. A portfolio of 60% Russell Fund and 40% S&P Fund.
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Business Analysis And Valuation Using Financial Statements Text And Cases
Authors: Krishna G. Palepu, Paul M. Healy, Victor Lewis Bernard, W.Gordon Filby
2nd Edition
0324015658, 9780324015652
