According to CAPM, which of the following is TRUE about portfolio beta?

I. The beta coefficient tells us the response of the portfolio's return to systematic risk.

II. The portfolio beta is the equal-weighted average of the betas of each security in the portfolio

III. Beta is equal to the covariance between the portfolios return and the market return, Cov(r_p,r_m)

IV. If a portfolio has the same systematic risk as the market portfolio, it must have a beta of zero.

V. Beta is not affected by the extent of leverage among component securities

Select one:

A. I ONLY

B. I and II

C. I, II and III

D. V only

E. I, II, III and V