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Consider an APT world with two systematic risks: Market risk and Interest Rate risk. Which of the following statements must be false about factor portfolios

Consider an APT world with two systematic risks: Market risk and Interest Rate risk. Which of the following statements must be false about factor portfolios in this setting:

[I] The market risk factor portfolio contains all the systematic risk in this world.

[II] The market risk factor portfolio is sensitive to changes in market risk and interest rate risk factor risk.

[III] The interest rate risk factor portfolio is sensitive only to unexpected changes in interest rates.

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