An active portfolio has an average active return of 0.5%, a tracking error of 4%, and a beta of 0.90 relative to its benchmark. If we accept CAPM as the correct model for risk and returns, which of the following statements must be TRUE? The market risk premium is 10%. The Sharpe ratio of the benchmark is negative. The portfolio's alpha is larger than 0.5%. The portfolio's information ratio is greater than 1. The portfolio's alpha is negative