The following data are available on the performance of the Growth Stock Fund (GSF) and the market portfolio.

	Growth Stock Fund	Market portfolio
Average return %	18	14
Standard deviation of return %	30	22
Beta	1.4	1.0
Residual standard deviation %	4	0

The risk-free return during the sample period was 6%.

Consider the following statements.

I. If you wanted to evaluate the Growth Stock Fund using the M-squared measure, the percent of the portfolio to invest in the risk-free asset would be 26.67%. II. The M-squared measure for the Growth Stock Fund is 0.9008.

III. The T-squared measure for the Growth Stock Fund is 0.5714.

Which of the following is correct?