Which of the following statements are incorrect?

• Statement 1: Plotting the difference between an asset's return over the riskfree rate against the difference between the market's return over the riskfree rate produces the security market line (SML).
• Statement 2: The standard deviation of an equally weighted portfolio divided by the standard deviation of a single security is known as the diversification ratio.

Group of answer choices

Statement 2 only

Statement 1 only

None of the above