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 Global Growth US Growth US Small Cap US Dividend i 4.0 3.5 5.5 3.0 B 1.3 1.5 1.8 1.2 oei (Residual Risk) 40 45 60 25 What are the expected returns, standard deviations of returns and covariance using the single- index model? (20 marks)