Select one: a. 27% b. 73% c. 8% d. 36% e. -36% (borrow)

The following data are available relating to the performance of Aloha Fund and the market portfolio: Aloha Fund Market Portfolio Average Return 18% 14% 22% Standard deviations 30% of returns Beta 1.4 1.0 4.0% 0.0% Residual Standard Deviation 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