Assume That Portfolio X Has a 15% Return and 40

Multiple Choice

Assume that portfolio X has a 15% return and 40% standard deviation. Market portfolio has a 10% return and 10% standard deviation. A 3-month T-bill has the annual average return of 5%. What is the M² measure?

A) -2.5%
B) 3.5%
C) -0.5%
D) 8.0%
E) 6.0%