Problem 6.2 (b) A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Stock fund (S) Bond fund (B) Expected Return 15% 98 Standard Deviation 32% 238 The correlation between the fund returns is 0.15. Calculate the standard deviation of the portfolio which yields an expected return of 12%. (Do not round intermediate calculations. Enter your answer in percentage points. Round your answer to 2 decimal places.)