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Question
| Seminole | Market Portfolio | |||||
| Average return | 18 | % | 14 | % | ||
| Standard deviations of returns | 30 | % | 22 | % | ||
| Beta | 4 | 1.0 | ||||
| Residual standard deviation | 4.0 | % | 0.0 | % | ||
46) 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%
Answer
This answer is hidden. It contains 83 characters.
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