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Portfolios X and Y have had an equal average return over the most recent period. Compared to Portfolio Y, Portfolio X had higher total risk, but lower systematic risk. Given this information, which of the following statements is TRUE? Compared to Portfolio Y: A. Portfolio X has a higher Sharpe ratio and a lower Treynor ratio. B. Portfolio X has both a lower Sharpe ratio and a lower Treynor ratio. C. Portfolio X has both a higher Sharpe and a higher Treynor ratio. D. Portfolio X has a lower Sharpe ratio and a higher Treynor ratio. |