1-2. Under CAPM, which of the following statements are TRUE? I. If an asset (or portfolio) does not have any systematic risk, it has no risk at all. II. If an asset (or portfolio) has a correlation coefficient of 1 with the market portfolio, it must have a beta of 1. III. If an asset (or portfolio) has a negative correlation coefficient with the market portfolio, it must have a negative beta as well. IV. If you choose any two assets (or portfolios) from SML and construct a new portfolio, it should also be on SML as well.

A. I and III only

B. II and III only

C. III and IV only

D. I, III and IV only

E. II, III and IV only