BASED ON EXHIBIT 1, CAN AN ARBITRAGE PORTFOLIO BE CREATED WITH A COMBINATION OF PORTFOLIOS A, B AND C

2. Based on Exhibit 1, can an arbitrage portfolio be created with a combination of portfolios A,

B and C?

A. No.

B. Yes, the portfolio would earn an expected return of 1.0%.

C. Yes, the portfolio would earn an expected return of 17.0%.