The following data are available relating to the performance of Rock Fund and the Market portfolio:

	Rock Fund	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 Rock Fund?

Select one:

a. 0.8%

b. 40%

c. 20%

d. 4%

e. 2.86%