CAPM is valid and all its assumptions hold. The market portfolio has an expected return of 8% per year and a standard deviation of 20% per year. The risk-free rate is 2% per year. Stock A has an expected return of 14% per year and a standard deviation of 50%. Break down stock A's variance into systematic and non-systematic components. How much is the systematic component of its variance? (Please choose the closest answer!) 0.25 A. B. 0.16 C. 0.4 D. 0.123 E. None of the above answers are correct