Question: The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Fund Avg Std Dev Beta A

The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below.

Fund Avg Std Dev Beta
A 14.50 % 25.00 % 1.15
B 16.00 % 21.50 % 1.20
C 20.50 % 28.50 % 1.40
S&P 500 11.00 % 16.00 % 1.00
rf 3.00 %

What is the M2 measure for portfolio B?

1.95%
1.02%
1.67%
.67%

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