True or False? -- A pension fund has 100% of its funds invested in long-term corporate bonds. This portfolios expected annual rate of return is 11%, and the annual standard deviation is 11%. A financial adviser recommends to consider investing in an index fund that closely tracks the Standard & Poors 500 index. The index fund has an expected return of 16%, and its standard deviation is 17%. Treasury bills are risk free and have a yield to maturity of 6%. If the pension fund puts all of its funds in a combination of the index fund and the risk free Treasury bills, the expected return can be improved without changing the risk of the portfolio.

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