Questio Portfolio X has a beta of 0.7, an expected return equal to 13%, and a standard deviation of 15%. The return on the market index is 14% and its standard deviation is 21%. Assume that Portfolio X is used in a capital allocation line to create a complete portfolio that matches the standard deviation of the market. What will be the difference between the expected return on the complete portfolio and the expected return of the market? Assume the risk-free rate is 5%?

a.5.8%

b. .88%

c. -.88%

d. 2.2%