The Following Data Are Available Relating to the Performance of Seminole

The following data are available relating to the performance of Seminole Fund and the market portfolio: $$\begin{array} { | l | l | l | } \hline & \text { Seminole } & \text { Market Portfolio } \\\hline \text { Average Return } & 18 \% & 14 \% \\\hline \text { Standard Deviation of Returns } & 30 \% & 22 ^ { \circ } \% \\\hline \text { Beta } & 1.4 & 1.0 \\\hline \text { Residual standard deviation } & 4.0 \% & 0.0 \% \\\hline\end{array}$$ 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%