Assume that the economy has three types of people. 20% are fad followers, 75% are passive investors and 5% are informed traders. The portfolio consisting of all informed traders has a beta of 1.4 and an expected return of 16%. The market has an expected return of 10% and the risk-free rate is 4%.

The expected return for the fad follower's portfolio is closest to:

a. 11.5%

b. 13.6%

c. 16%

d. 12.4%