The average returns, standard deviations of residual returns, and betas for three mutual funds is given in the following table.

Fund	Average return %	Residual standard deviation %	Beta
A	23	30	1.3
B	20	19	1.2
C	19	17	1.1

The average return on the market index portfolio was 18%, and its standard deviation of return was 15%.

The risk-free return during the sample period was 5%.

Consider the following statements:

I. The fund with the highest Sharpe measure is C.

II. The fund with the highest Treynor measure is B.

III. The fund with the highest Jensen measure is A.

Which of the following is correct?

a.

Statements I, II and III are incorrect.

b.

Statements II and III are correct, Statement I is incorrect.

c.

Statements I and II are correct, Statement III is incorrect.

d.

Statements I, II and III are correct.

e.

Statements I and III are correct, Statement II is incorrect.