A portfolio manager summarizes the input from the macro and micro forecasts in the following table:

Micro Forecasts

Asset Expected Return (%) Beta Residual Standard Deviation (%)

Stock A 20 1.50 60

Stock B 18 2.00 40

Macro Forecasts

Asset Expected Return (%) Standard Deviation (%)

T-bills 5 0

Passive Equity Portfolio (m) 16 25

Suppose that the portfolio manager follows the Treynor-Black model, and constructs an active portfolio (p) that consists of the above two stocks. The alpha of the active portfolio (p) is -18%, and its residual standard deviation is 150%.

Instruction: enter your response as a decimal number rounded to four decimal places.

Whats the M2 of the optimal portfolio?