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: $$\begin{array} { l c c } && { \text { Market } } \\& \text { Monarch } & \text { Portfolio } \\\text { Average return } & 18 \% & 14 \% \\\text { Standard deviations of returns } &30 \% & 22 \% \\\text { Beta } & 1.4 & 1.00 \\\text { Residual standard deviation } &4.0\%&0.0\%\\\hline\end{array}$$ 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%