1. The DFA Core 1 Equity portfolio generates an average annual return of 15% with a standard deviation of 26%. The benchmark for this portfolio is the S&P500, which generates an average annual return of 12% with a standard deviation of 16%. If the risk-free rate is 3%, what is the M^2 of the Core 1 Equity portfolio relative to the S&P500?

Group of answer choices

1.15%

-2.77%

0.77%

-1.85%

-1.62%