Consider the following statements on the market timing ability of portfolio managers.

Statement I. If the portfolio manager maintains constant proportions in the risk-free asset and the market portfolio, then the portfolio's security characteristic line will plot as a line with a constant slope. Statement II. A portfolio manager's market timing ability can be evaluated by using the Black-Scholes-Merton Option Pricing model, using an exercise price equal to that of the market index and a time to expiration equal to the manager's forecasting horizon. Statement III. If the forecaster correctly forecasts bull markets 60% of the time and correctly forecasts bear markets 40% of the time, then the forecaster's market timing score is 100%.

Which of the following is correct?