Problem 12-18 Portfolio Risk and Return (LO2) Suppose that the S&P 500, with a beta of 1.0, has an expected return of 12% and T-bills provide a risk-free return of 4%. a. What would be the expected return and beta of portfolios constructed from these two assets with weights in the S&P 500 of (1) 0; (2) 0.25; (3) 0.50; (4) 0.75; (5) 1.0? Note: Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Enter the value of Expected return as a percentage rounded to 2 decimal places and value of Beta rounded to 2 decimal places. Answer is not complete. Expected Return Beta (1) 0 1.00% (2) 0.25 (3) 0.50 (4) 0.75 5.25% 0.25 7.50% 0.50 9.75 % 0.75 (5) 1.0 12.00 % 1.00 b. How does the expected return vary with beta? Note: Do not round intermediate calculations. Answer is complete but not entirely correct. The expected return increases % for a one unit increase in by 3 x Theta