Which statement is wrong about performance measures?

a$.$

If the CAPM prices all assets correctly, all assets must have the same Treynor ratio.

b$.$

The tracking error is always the same as the idiosyncratic volatility.

c$.$

The M$2$ measures an asset$$s risk adjusted return performance with respect to the passive CML benchmark.

d$.$

The Sharpe ratio accounts for both systematic volatility and firm$-$specific volatility.

e$.$

Jensen$$s alpha is the estimated intercept of a factor model regression.