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

Growth Stock Fund Average return % 18

Beta1.4

standard deviation % 30

Residual standard dev. 4 %

Market portfolio Average return 14

Standard deviation % 22

Beta 1.0

Residual stand.dev. 0

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

Consider the following statements. 1. 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? O

a. Statements I, Il and III are incorrect.

b. Statements I and II are correct, Statement III is incorrect.

c. Statements I and III are correct, Statement Il is incorrect.

d. Statements II and III are correct, Statement I is incorrect.

e. Statements I, Il and III are correct. ire