You have estimated the single index model $($SIM$)$

for Fund B and found that its alpha and beta are $4\%$

and $1\mathrm{.}2$ respectively. The standard deviation of

Fund B$\text{'}$s excess returns is $30\%$ and the market

portfolio excess returns have a standard deviation

of $20\%.$ What's the idiosyncratic $($unsystematic$)$

volatility of Fund B$\text{'}$s excess returns?

Select one:

A$.0\mathrm{.}18$

B$.0\mathrm{.}155$

C$.$ None of the choices are within $0\mathrm{.}01$ of the

correct answer.

D$.0\mathrm{.}21$

E$.0\mathrm{.}23$