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The Jensen's alphas of portfolios 1 and 2 were identical. The beta of portfolio 1 was higher than the beta of portfolio 2. This means

The Jensen's alphas of portfolios 1 and 2 were identical. The beta of portfolio 1 was higher than the beta of portfolio 2. This means that:

(a) M2 of portfolio 1 was higher than the M2 of portfolio 2.

(b) T2 of portfolio 1 was higher than the T2 of portfolio 2.

(d) T2 of portfolio 1 was lower than the T2 of portfolio 2.

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