Suppose a portfolio had an arithmetic average return of 8 percent for a 4-year period. Which one of these statements must be true regarding this portfolio for the period?
A. At least one of the four years produced an annual rate of return of 8 percent.
B. If the standard deviation of the portfolio is greater than zero, then the geometric average portfolio return is less than 8 percent.
C. The standard deviation of the portfolio must be lower than the standard deviation of a comparable portfolio that had an arithmetic average return of 9 percent.
D. If the standard deviation of the portfolio is zero, then the geometric average return must also be zero.
F. The holding period return must be less than 8 percent.