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As part of your oversight of a pension plan, you are seeking to construct an optimal portfolio from the equity fund choices shown below. The S&P500 has an expected return of 12.5% and an estimated standard deviation of 14.9%. Fund Type dei Global Growth US Growth US Small Cap US Dividend 4.0 3.5 5.5 3.0 1.3 1.5 1.8 1.2 (Residual Risk) 40 45 60 25 What are the expected returns, standard deviations of returns and covariance using the single- index model? (20 marks) As part of your oversight of a pension plan, you are seeking to construct an optimal portfolio from the equity fund choices shown below. The S&P500 has an expected return of 12.5% and an estimated standard deviation of 14.9%. Fund Type dei Global Growth US Growth US Small Cap US Dividend 4.0 3.5 5.5 3.0 1.3 1.5 1.8 1.2 (Residual Risk) 40 45 60 25 What are the expected returns, standard deviations of returns and covariance using the single- index model? (20 marks)