Assume that you are the portfolio manager of the SF Fund, a $3 million hedge fund that contains the following stocks. The required rate of return on the market is 11.00% and the risk-free rate is 2.00%. What rate of return should investors expect (and require) on this fund? Do not round your intermediate calculations.

Stock		Amount		Beta
A		$825,000		1.20
B		$675,000		0.50
C		$1,000,000		1.40
D		$500,000		0.75
		$3,000,000

a. 8.59%

b. 11.31%

c. 10.86%

d. 9.39%

e. 11.76%