Given the following portfolio data, the portfolio return is closest to:
| Asset class | Asset allocation (weight)(%) | Asset class return(%) | Correlation with equities class(%) |
| Equities | 45 | 116 | 100 |
| Mortgages | 25 | 12 | 30 |
| Cash and equivalents | 30 | 2 | 10 |
C is correct. The portfolio return is the weighted mean return and is calculated as: 0.45 ×16 + 0.25 ×12 + 0.30×2 = 10.80.