Question $8(1$ point$)$

You are given the following information concerning two investments:

Investment A: Standard deviation $23\%$ Beta $0\mathrm{.}7$

Investment B: Standard deviation $15\%$ Beta $1\mathrm{.}6$

The correlation coefficient between the returns on Investments A and B is $0\mathrm{.}78.$

Based on the above information, which one of the following statements is true?

a$)$ Investment A has greater systematic risk than that of Investment B$.$

b$)$ Investment A has higher total risk than that of Investment B$.$

c$)$ Returns on Investment A will tend to be high when returns on Investment B are low.

d$)$ Investment A has lower unsystematic risk than that of Investment B$.$