You want to evaluate the risk adjusted performance of Portflios A$,$B and C$.$ The risk$-$free return during the sample period is $2\%.$ The average returns, standard deviations, and betas for the three portflios are given below.

Average Return Standard Deviation Beta

Portfolio A $12\%9\%1\mathrm{.}10$

Portfolio B $13\%11\%0\mathrm{.}95$

Portfolio C $14\%13\%0\mathrm{.}87$

The R$-$squares of portfolios A$,$ B and C with respect to the market portflio are $50\%,45\%$ and $40$ respectively. Which of these portfolios have the best risk adjusted performance?

Group of answer choices

portfolio C since it has the highest Treynor ratio

portfolio B since it has the highest Jensen's Alpha

portfolio A since it has the highest Sharpe ratio

portfolio C since it has the highest Geometric return