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The table below presents performance data for two mutual funds over the last 5 years -- the Socially Responsible Fund, and the Diamonds Are Forever

The table below presents performance data for two mutual funds over the last 5 years -- the 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.

Return

Standard Deviation

Beta

Responsible

11.6%

36%

1.7

Diamonds

11%

32.60%

2.5

Market

5.5%

17%

1

T-Bills

1%

N/A

N/A

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

Please show your work.

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