Consider an investor who wishes to invest 40% allocation to defensive investments and 60% allocation to growth investments. The investor has worked out the forecasted volatility, expected return and correlation between the two types of investments as below:

Investments	Volatility	Return
Defensive	6% per annum	5% per annum
Growth	18% per annum	11% per annum

The correlation between growth and defensive investments is 0.05

Calculate the return and volatility of the portfolio.

A) 8% and 11.06%

B) None of the other answers

C) 8.6% and 11.18%

D) 8% and 11.18%

E) 8.6% and 11.06%