Which of the following statements is(are) not true?

A) You will gain the diversification effect because of the decrease in unsystematic risk of the portfolio

B) Capital market line shows the risk and return of portfolios that consist of risky and risk-free assets.

C) The market portfolio is a combination of a fully diversified group of risky securities.

D) The efficient frontier is the locus of combinations of risky and risk-free portfolios.

E) The systematic risk of the portfolio stays the samewhen you invest in the US stock market.