The following data are available relating to the performance of Seminole Fund and the market portfolio:

	Seminole		Market Portfolio
Average return	18	%	14	%
Standard deviations of returns	30	%	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 Seminole Fund.

Multiple Choice

• 4.0% (Incorrect)

• 20.0%

• 2.86%

• 0.8%

• 40.0%