Consider a portfolio matching the $3$ requirements for statistical arbitrage and based on the four factor model that contains six stocks. Which of the following statements is true?

Question $20$ options:

a$)$

The portfolio has zero total risk

b$)$

The portfolio return is expected to have zero correlation with each of the factors

c$)$

The portfolio has zero chance of generating a loss

d$)$

The portfolio has zero idiosyncratic risk

e$)$

The portfolio will have a zero alpha