The Following Data Are Available Relating to the Performance of Seminole

Multiple Choice

The following data are available relating to the performance of Seminole Fund and the market portfolio: The risk-free return during the sample period was 6%.
If you wanted to evaluate the Seminole Fund using theM²measure, what percent of the adjusted portfolio would need to be invested in T-Bills?

A) -36% (borrow)
B) 50%
C) 8%
D) 36%
E) 27%