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A portfolio generates an annual return of 18%, a beta of 0.6 and a standard deviation of 15%. The market index return is 15% and

A portfolio generates an annual return of 18%, a beta of 0.6 and a standard deviation of 15%. The market index return is 15% and has a standard deviation of 24%. What is the M² measure of the portfolio if the risk free rate is 9%?

30.98%

23.65%

8.40%

40.18%

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