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A portfolio generates an annual return of 20.5%, a beta of 0.7, and a standard deviation of 22.5%. The market index return is 16.5% and

A portfolio generates an annual return of 20.5%, a beta of 0.7, and a standard deviation of 22.5%. The market index return is 16.5% and has a standard deviation of 20.5%. What is the M2 measure of the portfolio if the risk-free rate is 3%?

2.67%

2.22%

1.64%

2.44%

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