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A portfolio generates an annual return of 13.0%, a beta of 0.5, and a standard deviation of 17.0%. The market index return is 15.5% and

A portfolio generates an annual return of 13.0%, a beta of 0.5, and a standard deviation of 17.0%. The market index return is 15.5% and has a standard deviation of 23.0%. What is the M² measure of the portfolio if the risk-free rate is 4%?

0.68%

0.58%

0.48%

0.38%

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