You have decided to apply the M² approach to decide whether or not a managed fund has beaten the market on a risk adjusted basis. The data for the exercise is as follows.

Managed fund: Return = 22% S.D. = 32%

Market Portfolio: Return = 15% S.D. = 24%

T-bill return = 4%

Hypothetical Portfolio is ____% in the T-bills and the portfolio _______ the market portfolio

A) 25%; underperformed

B) 25%; out-performed

C) 75%; underperformed

D) 75%; out-performed

E) 25%; performed as well as the market portfolio