You are looking at 3 portfolios: A, B, and C. The average return and standard deviation of return of each portfolio for the past 5 years was: A: return = 10%/year, standard deviation = 25% B: return = 15%/year, standard deviation = 30% C: return = 10%/year, standard deviation = 20% The average risk-free return for the past 5 years was 3%/year. True or false: The portfolio with the highest Sharpe measure was portfolio C.

True False