Please help me with the following question based on the given article, there is only one option that is correct. Please also explain why is the option correct and other options are wrong.

\fAssuming that the systematic risk principle holds, which of the following statement(s) is CORRECT according to the above? (Define R3 = (Top 5 R-Factor Ratings stock returns) - (Bottom 5 R-Factor Ratings stock returns)) i. Expected return on R3 is positive. ii. If you use Rs as a factor in your benchmark model. The factor loadings on Top 5 R-Factor Ratings stocks should be positive. iii. If you use Rs as a factor in your benchmark model. The factor loadings on Top 5 RFactor Ratings stocks should be higher than that of Bottom 5 RFactor Ratings stocks. 0 i O iand ii 0 iii 0 None of the above