Use the following three statements to answer this question:

I. A security with a beta of zero implies that all of the variability in this security's return is fully diversifiable by any investor holding a well-diversified portfolio in the U.S. market (most efficient in the world).

II. The SML slope is the market risk premium

Ill. The CML slope is the Sharpe ratio

1. Only I and Il are correct

2. Only I and Ill are correct

3. Only Il and Ill are correct

4. Only Ill is correct

5. I. Il. and Ill are all correct