If CAPM holds, which of the following statements is wrong?

Group of answer choices

If the Sharpe ratio of the market portfolio is $0\mathrm{.}5,$ then the risk premium of any asset will be no greater than half of its volatility.

The market portfolio achieves the highest Sharpe ratio in the economy.

The expected returns of risky assets $($namely$,$ assets with non$-$zero volatilities$)$ must be higher than the risk$-$free rate.

No mutual fund manager can generate alpha for their clients.