Suppose we want to investigate the performance of a portfolio that earned 16% in the past year. The statement of investment policy indicated a beta range of 0.85-1.25 with a target beta of 1.0: the actual beta was 1.20. The S&P 500 index and the portfolio have standard deviation of 12% and 20% respectively, and the market eamed 10% for the year. The return due to Net Selectivity of the portfolio manager is? The Risk free rate is 29. 0.5896 0.6794 78% 0989% None of above