128 A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 3.0%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 416 Bond fund (B) 50 308 The correlation between the fund returns is .0667. Suppose now that your portfolio must yield an expected return of 9% and be efficient, that is, on the best feasible CAL. a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation 26.6% b-1. What is the proportion invested in the T-bill fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) % Proportion invested in the T-bill fund