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

The risk-free return during the sample period was 6%.
If you wanted to evaluate the Seminole Fund using the M2 measure, what percent of the adjusted portfolio would need to be invested in T-Bills?
A) -36% (borrow)
B) 50%
C) 8%
D) 36%
E) 27%

Question

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

The risk-free return during the sample period was 6%.
If you wanted to evaluate the Seminole Fund using the M2 measure, what percent of the adjusted portfolio would need to be invested in T-Bills?
A) -36% (borrow) 
B) 50% 
C) 8% 
D) 36% 
E) 27%

Quizplus · Accepted Answer

22/30 = .7333, or 73.33% invested in Seminole Fund and 1 - 73.33% = 26.67% in T-Bills.

The Following Data Are Available Relating to the Performance of Seminole