The Standard and Poor's (S&P) 500 Index has a mean annual return of about 12%, and a standard deviation of about 20%. (A) The CAPM says you should hold the Value-Weighted Market Portfolio (not the S&P 500). Explain why this is so. (3 pts) (B) For a portfolio that is half t-bills and half the S&P 500, what is the standard deviation of returns? (3 pts)