The following data are available relating to the performance of Seminole Fund and the market portfolio:

	Seminole		Market Portfolio
Average return	18	%	14	%
Standard deviations of returns	30	%	22	%
Beta	1.4	%	1.0	%
Residual standard deviation	4.0	%	0.0	%

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?

Group of answer choices

50%

36% (borrow)

27%

36%

Please show all work and steps.