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		$915,000		1.20
B		$675,000		0.50
C		$810,000		1.40
D		$600,000		0.75
		$3,000,000

a. 9.06%

b. 13.07%

c. 11.06%

d. 9.00%

e. 10.66%