Which of the following is False? On the capital market line (CML), any risk-return combination beyond the Market Portfolio (m) is obtained by borrowing money at risk-free rate and investing the borrowed amount at the tangency portfolio, m (i.e., market portfolio). The beta of the market portfolio is 1. The security market line can be thought of as expressing relationships between expected required rates of return and beta. Assume that capital asset pricing model holds. Then, a security whose expected return falls below the SML. (security market line) indicates that the security is undervalued, whereas a security whose expected return falls above the SML indicates that the security is overvalued