If a Professionally-Managed Portfolio Consistently Outperforms the Market Proxy on a Risk-Adjusted

Multiple Choice

If a professionally-managed portfolio consistently outperforms the market proxy on a risk-adjusted basis and the market is efficient, it should be concluded that

A) the CAPM is invalid.
B) the proxy is inadequate.
C) either the CAPM is invalid or the proxy is inadequate.
D) the CAPM is valid and the proxy is adequate.