Final answer:
The correct answer to the measure of an asset's sensitivity to the market is beta. Beta reflects how much an asset's returns move in response to market changes.
Step-by-step explanation:
The measure of sensitivity of an asset's return to movement in the underlying market is beta. Beta represents how a particular asset moves in relation to the market; a beta greater than 1 means the asset is more volatile than the market, whereas a beta less than 1 indicates it is less volatile.
Options like standard deviation and correlation are also important in finance but serve different purposes. Standard deviation measures the variability or spread of a set of numbers. Covariance measures how two variables change together, but it does not normalize for the variance of the individual variables, and correlation is a standardized measure of the strength of the relationship between two variables. Therefore, for the given question, the correct answer is b. beta.