The Table, below, presents performance data for two mutual funds over the last 5 yearsthe Socially Responsible Fund, and the Diamonds Are Forever Resource Fund. The Table also includes information on the returns of the market index and T-Bills over the same period. Use this information to answer the question that follows.

If you had invested in the market index and T-Bills in such a way as to match the Beta of Diamonds Are Forever, then what return would you have earned?

Looking for the process work to understand how the solution of 11.5% was achieved.

Return 13% 11% 6% Responsible Diamonds Market T-Bills Std. Dev. 37.5% 33% 15% Beta 2.5 2.1 1% n.a. n.a. 9.5% 10.0% 10.5% 11.0% *11.5% E)