The expected return and standard deviation of a portfolio that is 60 percent invested in 3 Doors, Inc, and 40 percent invested in Down Co. are the following: 3 Doors, Inc. Dovn Co Expected return, E(R) Standard deviation, 16t 49 11% 38 What is the standard deviation if the correlation is t12 0?-1? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. ) Standard Deviation Correlation +1 Correlation -1