Let's evaluate the performance of this team after two months. Assume the following (excess return) index-model regression results for this team's portfolio. The risk-free rate over the period was 5%. The market's average return was 15%.

Please calculate the M² for the team's portfolio and evaluate the performance relative to the market index. (Note: this is a challenging question and you have sufficient information to solve this question.)

Index model regression estimates R-squared Firm-specific standard deviation (de) Portfolio 2% +1.2(TM-T) 0.80 15% Index model regression estimates R-squared Firm-specific standard deviation (de) Portfolio 2% +1.2(TM-T) 0.80 15%