A mutual fund has earned an annual average return of 15% over the last 5 years. During that time, the average risk-free rate was 2% and the average market return was 12% per year. The correlation coefficient between the mutual funds and markets returns was 0.7. The standard deviation of returns was 30% for the mutual fund and 22% for the market. What was the funds CAPM alpha?

a) -2.9%

b) -1.3%

c) 0.3%

d) 1.9%

e) 3.5%