You are looking at 3 portfolios: A, B, C. The average annual return and beta of each portfolio for the past 5 years was:

A: return = 10%/year, beta = 1.5 B: return = 15%/year, beta = 1.8 C: return = 10%/year, beta = 0.8 The average risk-free return for the past 5 years was 3%/year. True or false: The portfolio with the highestTreynormeasure was portfolio C.

True False