The following sequence of yearly gross returns are provided: Period Return 1 6.9% 2 -2.5% 3 9.0% 4 0.0% 5 4.5% Adjust the historical returns based on the expected return of -2% p.a.. What's the probability of loss for the adjusted return series? (rounded to two decimal places) Select one: a. 0.00% b. 20.00% c. 40% d. 60% e. None of the above