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 $1,325,000 1.20

B $675,000 0.50

C $500,000 1.40

D $500,000 0.75

$3,000,000

a. 12.00% b. 10.90% c. 12.11% d. 11.01% e. 9.69%