Suppose the standard deviation of the market return is 13%. What is the standard deviation of returns on a well-diversified portfolio with a beta of 0.6? (Enter your answer as a percent rounded to 2 decimal places.) What is the standard deviation of returns on a well-diversified portfolio with a beta of 0? (Enter your answer as a percent rounded to 2 decimal places.) A well-diversified portfolio has a standard deviation of 8%. What is its beta? (Round your answer to 2 decimal places.) A poorly diversified portfolio has a standard deviation of 13%. What can you say about its beta?