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 5.5%. The probability distributions of the risky funds are: Expected Return Standard deviation Stock fund (S) Bond fund (B) 29% The correlation between the fund returns is 0.15. 38% 15% 9 Problem 6-11 (Static) Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL Required: a. What is the standard deviation of your portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation 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-bil fund % b-2. What is the proportion invested in each of the two risky funds? (Do not round Intermediate calculations. Round your answers to 2 decimal places.) Stocks Bonds Proportion Invested % % Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe ratio