The United Kingdom's CESG has published an appraisal the security of various operating systems. The TL;DR is that Ubuntu Linux is the “most secure” but Ubuntu is probably a proxy for Linux (no other Linux distros were profiled). Happily, the CESG analysis was a little more nuanced than “the most secure OS is…” They looked at several aspects of the OS and rated them as “significant risk,” “some concerns,” and "no risk." The summary is useful no matter what OS you're using.
Even more useful are links to a discussion, for each OS, of every aspect in the rating. This allows you to understand what the vulnerabilities for your OS are and what you should do to address them. Even if you're not the type of person who cares about the relative standing of the various OS's, you'll want to know how your OS stands up and what you need to do to make it more secure.