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: $\begin{array}{lcc} & \text {Seminole } & \text { Market } \\ &&\text { Portfolio }\\\text { Average return } & 18 \% & 14\% \\\text { Standard deviations of returns } & 30\% & 22\% \\\text { Beta } & 1.4 & 1.0 \\\text { Residual standard deviation } &4.0 \% & 0.0 \%\end{array}$
The risk-free return during the sample period was 6%.
If you wanted to evaluate the Seminole Fund using the M² measure, 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%