Please refer to the data sheet, tab General questions. You have constructed a portfolio which is equally invested in stocks C and F. Which correlation coefficient between returns of stocks C and F results in the lowest portfolio standard deviation? Hint: please ignore the actual correlation between stock returns

0.67

0.45

0.11

0.22

1 2 3 A Year 1 2 3 4 5 B A 10.3% 17.5% -6.7% 24.5% 17.1% C B -5.9% -0.5% 18.9% 15.2% 10.9% D S&P500 4.5% 6.8% 14.3% 19.2% 20.8% 4 4 5