The following data are available relating to the performance of Seminole Fund and the market portfolio: Seminole 18% Market Portfolio 14% 22% 30% Average return Standard deviations of returns Beta Residual standard deviation The risk-free return during the sample period was 6%. 1.4 1.0 4.0% 0.0% 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? Select one: O A. 50% B. -36% (borrow) C. 36% O D. 27% O E. 8%