The following data apply to Problems 812. A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 15% 32% Bond fund (B) 9 23 The correlation between the fund returns is .15. What is the Sharpe ratio of the best feasible CAL? (LO 6-3) Suppose now that your portfolio must yield an expected return of 12% and be efficient, that is, on the best feasible CAL. (LO 6-4) a. What is the standard deviation of your portfolio? b. What is the proportion invested in the T-bill fund and each of the two risky funds? f you were to use only the two risky funds and still require an expected return of 12%, vhat would be the investment proportions of your portfolio? Compare its standard leviation to that of the optimal portfolio in the previous problem. What do you con- lude? (LO 6-4)