Over the past five years the average monthly return on the market portfolio has been $0\mathrm{.}9\%$ with $1\mathrm{.}2\%$ of standard deviation. The average monthly risk$-$free rate has been $0\mathrm{.}1\%.$ The average monthly returns and standard deviation of returns for Illini investment funds has been $1\%$ and $1\%$ respectively. The covariance of the illini investment fund returns with the market is $0\mathrm{.}00022.$ What are the Sharpe measure and M$2$ measure for the fund?

a$.$ Sharpe $1,00$;$M^{{?}^{{?}^{?}}}2-0\mathrm{.}05\%$

b$.$ Sharpe $0\mathrm{.}67$;$M^{{?}^{{?}^{?}}}20\mathrm{.}10\%$

c$.$ Sharpe $1\mathrm{.}00$;$M^{{?}^{{?}^{?}}}20\mathrm{.}10\%$

d$.$ Sharpe $0\mathrm{.}90$;$M^{{?}^{{?}^{?}}}2-0\mathrm{.}05\%$

e$.$ Sharpe $0\mathrm{.}90$;$M^{{?}^{{?}^{?}}}20\mathrm{.}28\%$

f$.$ Sharpe $1\mathrm{.}00$;$M^{{?}^{{?}^{?}}}20\mathrm{.}28\%$

g$.$ Sharpe $0\mathrm{.}67$: $M^{{?}^{{?}^{?}}}20\mathrm{.}28\%$

h$.$ Sharpe $0\mathrm{.}67$;$M^{{?}^{{?}^{?}}}2-0\mathrm{.}05\%$

i$.$ Sharpe $0\mathrm{.}90$;$M^{{?}^{{?}^{?}}}20\mathrm{.}10\%$

Explanation

Sharpe ratio average monthly return $-$ average monthly risk$-$free rate