The Following Data Are Available Relating to the Performance of Seminole

The following data are available relating to the performance of Seminole Fund and the market portfolio: $\begin{array}{lcc} & & \text { Market } \\& \text { Seminole}&\text{ Portfoli } \\\text { Average return } & 18 \% & 14 \% \\\text { Standard deviations of returns } & 30 \% & 22 \% \\\text { Beta } & 1.4 & 1.0 \\\text { Residual standard deviation } & 4.0 \% & 0.0 \%\end{array}$ The risk-free return during the sample period was 6%. Calculate the M² measure for the Seminole Fund.

A) 4.0%
B) 20.0%
C) 2.86%
D) 0.8%
E) 40.0%

Correct Answer:

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