A portfolio manager finds that stocks with high sales-to-price ratios tend to have low alphas relative to the US Market especially when stocks have had a high run-up (increase) in price over that past 5 years. Which one of the following has she most likely replicated? (Hint: not all statements are true.) (Choose one. No explanation necessary)

A) Small stocks tend to have low alphas.

B) Low beta stocks tend to have low alphas.

C) Low earnings stocks tend to have low alphas.

D) Past 3-12 month loser stocks tend to have low alphas.

E) Growth stocks tend to have low alphas.