Suppose that the S&P 500, with a beta of 1.0, has an expected return of 11% and T-bills provide a risk-free return of 6%. a. What would be the expected return and beta of portfolios constructed from these two assets with weights in the S&P 500 of (1) 0; (2) 0.25; (3) 0.50; (4) 0.75; (5) 1.0? Note: Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Enter the value of Expected return as a percentage rounded to 2 decimal places and value of Beta rounded to 2 decimal places. Expected Return Beta (1) 0 (2) 0.25 % % (3) 0.50 % (4) 0.75 % (5) 1.0 % b. How does the expected return vary with beta? Note: Do not round intermediate calculations. The expected return by % for a one unit increase in beta.