Portfolio A has a standard deviation of 5.5%, a beta of 1.5, an actual return of 8%, and an expected return of 10%. Portfolio B has a standard deviation of 7.5%, a beta of 1.50, an actual return of 9%, and an expected return of 12%. Assume a risk-free rate of return of 2.75% and an R2 of 0.40 with respect to the market. Given this information, which of the following statement is correct?

Portfolio A has a higher Sharpe ratio than portfolio B indicating that Portfolio A outperformed Portfolio A

Portfolio B has a higher Sharpe ratio than Portfolio A indicating that portfolio B outperformed portfolio A

Portfolio A has a higher Jensen alpha than portfolio B indicating that Portfolio A outperformed portfolio B

Portfolio B has a higher Treynor ratio than portfolio A indicating that Portfolio B outperformed Portfolio A