5] 'Wl'lich of the following statements is false? a) Rather than relying on the efficiency of a single portfolio (such as the market), multifactor models rely on the weaker condition that an efficient portfolio can be constructed from a collection of wellrdiversied portfolios or factors. In} A positive alpha in a single factor model means that the portfolios that implement the trading strategy capture risk that is not captured by the market portfolio. c} Multifactor models have a distinct advantage over singlefactor models in that it is much easier to identify a collection of portfolios that captures systematic risk than just a single portfolio. d} Trading strategies based on market capitalization, booktomarket ratios, and momentum have been developed that appear to have zero alphas. e) None of the above