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%.

(1) If you wanted to evaluate the Seminole Fund using theM²measure, what percent of the adjusted portfolio would need to be invested in T-Bills? (correct answer 27%)

(2) Calculate theM²measure for the Seminole Fund.(Correct answer 0.8%)