Consider the following table of monthly returns for a hedge fund and an index portfolio. For the purpose of computation, the hurdle rate is the U.S. T-bill rate, assumed to be 6 percent per year. RETURNS (%) MONTH Hedge Fund INDEX January 3.5% 2.4% February 4.0% 3.0% March -1.6% 2.0% April -2.0% -1.0% May 1.0% 0.2% June 1.0% 1.0% What is the annualized sample downside deviation for the index? Select one: a. 1.42% b. 0.08% c. 4.02% d. 8.93%