Consider historical data showing that the average annual rate of return on the S&P 500 portfolio…

Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 25% per year. Assume these values are representative of investors’ expectations for future performance and that the current T-bill rate is 4%. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index with weights as shown below. (Enter your answers as decimals rounded to 4 places. Leave no cells blank – be certain to enter “0” wherever required.) Wills Windex Expected Return 0.1200 1.0 0.8 Variance 0.0625 Example 0.0 0.2 0.4 0.6 0.8 oo 0.6 0.4 0.2 0.0 1.0