Consider the following results from regressions of monthly excess returns on a mutual fund on excess market returns. T$-$statistics are in parentheses for each estimated coefficient:

Intercept $0\mathrm{.}007$

$(1\mathrm{.}32)$

Slope $0\mathrm{.}125$

$(-2\mathrm{.}34)$

R$-$square $65\%$

The standard deviation of the regression residual is $0\mathrm{.}135$ and the standard deviation of the market return is $0\mathrm{.}045.$

Which of the following statements is correct regarding these results?

I. The volatility of the fund$$s returns is $10\mathrm{.}51\%.$

II$.$ Another fund with a CAPM beta of $1\mathrm{.}25$ has higher systematic risk under CAPM.

III. The regression results reveal no violation of the CAPM.

A$.$

II and III

B$.$

I and III

C$.$

I and II

D$.$

Only II