BMW’s M brand is big business. In 2015, the German automaker saw a 40-percent increase worldwide in sales of M-badged vehicles over the previous year, with the biggest demand by far here in the United States.

It is no surprise, then, that the Bavarians are scrambling to offer high-performance versions of vehicles that heretofore did not wear the mighty letter. The latest of these is the BMW X4 M40i (starting at $57,800), a member of what BMW calls its “M Performance” lineup, which bridges the gap betwee…