4. Normal Distribution (L04, CFA3) An investment strategy has an expected return of 12 percent and a standard deviation of 10 percent. If the investment returns are normally distributed, the probability of earning a return less than 2 percent is closest to a. 10 percent b. 16 percent c. 32 percent d. 34 percent 5 Normal Distribution (L04 CFA3) What are the mean and st andard deviation of a standard normal distribution