Which of the Following Statements About Pension Plan Portfolio Performance

Which of the following statements about pension plan portfolio performance is incorrect?

A) Pension fund sponsors must evaluate the performance of their portfolio managers periodically as a basis for future asset allocations.
B) Alpha analysis, which relies on the Capital Asset Pricing Model, considers the risk of the portfolio when measuring performance.
C) Peer comparison examines the relative performance of portfolio managers with similar investment objectives.
D) A portfolio annual return of 12 percent from one investment advisor is not necessarily better than a return of 10 percent from another advisor.
E) In managing the retiree portfolio, fund managers often use immunization techniques such as alpha analysis to eliminate, or at least significantly reduce, the risk associated with changing interest rates.