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The following data are available relating to the performance of Aloha Fund and the market portfolio: Aloha Fund Market Portfolio Average Return 18% 14% Standard

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

Aloha Fund

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 Aloha Fund using the M2 measure, approximately what percent of the adjusted portfolio would need to be invested in T-Bills?

Select one:

a. 73%

b. 27%

c. 8%

d. 36%

e. -36% (borrow)

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