Assume that you are the portfolio manager of the SF Fund, a $4 million hedge fund that contains the following stocks. The required rate of return on the market is 12.00% and the risk-free rate is 1.80%. What rate of return should investors expect (and require) on this fund? Do not round your intermediate calculations.

Stock Amount Beta A $1,240,000 1.20 B $1,140,000 0.50 C $820,000 1.40 D $800,000 0.75 $4,000,000 a. 13.22% b. 9.71% c. 10.20% d. 11.62% e. 11.51%