1. Based on the outcomes in the following table, choose which of the statements below is (are) correct?

   Scenario	Security A	Security B	Security C
   Recession	Return > E(r)	Return = E(r)	Return < E(r)
   Normal	Return = E(r)	Return = E(r)	Return = E(r)
   Boom	Return < E(r)	Return = E(r)	Return > E(r)

   1. The covariance of security A and security B is zero.
   2. The correlation coefficient between securities A and C is negative.
   3. The correlation coefficient between securities B and C is positive.

   		II and III only
   		I only
   		I and II only
   		I, II, and III