Which One of the Following Statements Is Correct If a Portfolio

Multiple Choice

Which one of the following statements is correct if a portfolio has a Jensen measure of return of zero?

A) The portfolio has a total return of zero percent.
B) The portfolio earned exactly its expected return on a risk-adjusted basis.
C) The portfolio outperformed the market on a risk-adjusted basis.
D) The market provides a better return on a risk-adjusted basis.