Consider the following two statements on Beta:

I. Beta measures the sensitivity of an asset to the total risk it carries, thus it includes systematic risk and idiosyncratic risk

II. A Beta of 0.7 means that the asset does tend to move with the market, but more aggressively. A 1% upward move in the market is a 7% upward move in the asset.

a.

Only statement I is correct

b.

Both statements are correct

c.

Only statement II is correct

d.

Both statements are false