The following information relates to the next two questions:

Mr. Miles wants to build a portfolio using only US T-bills and an index fund that closely tracks the S&P 500 Index. The T-bills have a return of 4 percent. The S&P 500 has a standard deviation of 20 percent and an expected return of 12 percent.

What is the expected return of a portfolio on the CML with the standard deviation of 10%?

13.5%

12%

8%

What is the standard deviation of a portfolio on the CML with the expected return of 12. 5%?

12.5%

15.6%

21.3%