Suppose a portfolio had an arithmetic average return of 11 percent for a 5-year period. Which one of these statements must be true regarding this portfolio for the period?

A. If the standard deviation of the portfolio is zero, then the geometric average return must also be zero.

B. At least one of the five years produced an annual rate of return of 11 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 13 percent.

D. If the standard deviation of the portfolio is greater than zero, then the geometric average portfolio return is less than 11 percent.