The following table contains historical stock returns for four stocks. Suppose the risk-free rate is 2.0%. If the CAPM holds, which of the following portfolios SHOULD have the highest Sharpe Ratio? Note: You can copy and paste the data from Canvas into Excel. Cannot be determined The market portfolio An equally-weighted portfolio which invests each month in the two stocks with the lowest returns during the previous month An equally-weighted portfolio which invests each month in the two stocks with the highest returns during the previous month The following table contains historical stock returns for four stocks. Suppose the risk-free rate is 2.0%. If the CAPM holds, which of the following portfolios SHOULD have the highest Sharpe Ratio? Note: You can copy and paste the data from Canvas into Excel. Cannot be determined The market portfolio An equally-weighted portfolio which invests each month in the two stocks with the lowest returns during the previous month An equally-weighted portfolio which invests each month in the two stocks with the highest returns during the previous month