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 40% 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%