Please explain why the answer is A.

35. (4 points) Maria is a mean-variance investor, currently invested 100% in a diversified U.S. equity portfolio with expected return of 12.46% and volatility of 15.76%. Maria is considering the MEGA fund and the DQX fund as additions to her portfolio. MEGA invests in European equity markets and has an expected return of 14.69% and a volatility of 32.5%. The correlation of the MEGA fund and Maria's current portfolio is 0.7274. The DQX fund invests in several Latin American markets. The expected return on the fund is 12%; it has a volatility of 35% and a correlation of 0.2 with Maria's current portfolio. Assume that the risk-free rate is 5%. If Maria is interested in improving the Sharpe ratio of her portfolio, what should she invest in? A. In the DQX fund. B. In the MEGA fund. C. In either the DQX or MEGA fund. D. In neither fund. E. None of the above