You can't form a riskless portfolio out of two risky assets - no matter how their returns are correlated. For example, if Asset A has a standard deviation of returns of 30% p.a. and Asset B a standard deviation of returns of 20% p.a., any portfolio consisting of an investment in these two assets will have risk associated with it. The capital market line (CML) is the graphical representation of the CAPM and describes the risk-return relationship for individual assets and inefficient portfolios