The fund has a volatility of 24%. You wish to know if investing in MF is better than investing on the CML. The market volatility (S&P 500) is 20%. The risk free rate is 2% and the market risk premium is 7%. 

a. What is the relevant CML portfolio that you should compare with MF (Calculate the weights X and 1-X)?

b. What should be the expected return of the CML portfolio that you calculated in a.?

c. The fund considers a fundamental change in its investment strategy. It will expand into emerging markets to increase its returns and reduce its risk exposure. It considers an emerging market ETF which has a correlation of 0.1 with MF's assets and a standard deviation of 75%. MF will sell 20% of its assets to buy the ETF. 

What will be the new volatility of MF?