The following data are available relating to the performance of a mutual fund and the market portfolio:

	Mutual Fund		Market Portfolio
Average return	18	%		14	%
Standard deviations of returns	22	%		22	%
Beta	1.4			1.0
Residual standard deviation	4.0	%		0.0	%

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

Calculate the M2 measure for the mutual fund.

Multiple Choice

• 0.8%

• 2.86%

• 40.0%

• 4.0%

• 20.0%