The manager of a large pension fund is planning to invest in equity funds managed by the pension funds investment company. To evaluate the funds, the manager regressed five-years of monthly return data for each fund against the returns on the S&P 500 to obtain the following regression parameter estimates:

Funds	j	j	V()
1. Small Cap	1.1	1.9	100
2. Value	1.3	0.75	75
3. Growth	1.1	1.25	125
4. Large Cap	0.95	0.9	50
5. Low P/e	0.75	1.75	75

The pension funds economic expert forecast an expected return on the S&P 500 of 8% and an expected standard deviation of s(R^M) = 12.25% (V(R^M) = 150).

A) Using the Single-Index model (where the returns on each fund are related only to the market), determine the expected returns and standard deviations for each fund.

B) Generate a variance-covariance matrix for the five funds