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You have analyzed the returns of mutual funds X and Y for the last several years and have gathered the following information. Fund X: Annual

You have analyzed the returns of mutual funds X and Y for the last several years and have gathered the following information.

Fund X:

  • Annual return: 16%
  • Standard deviation: 20%

Fund Y:

  • Annual return: 14%
  • Standard deviation: 16%

The correlation coefficient between the two funds is 0.35. Assuming your portfolio consists 60% of Fund X and 40% of Fund Y, calculate the standard deviation of this two-asset portfolio.

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