Show why the following statement is false:

Suppose arbitrage pricing theory holds, so returns of all assets are determined by their factor loadings on a small set of priced risk factors. The risk-free rate is r_f. Suppose that two assets, 1 and 2, are perfectly positively correlated. Both assets are risky: the return standard deviation of both is > 0.

If asset 1 has an expected return greater than the risk-free rate r_f, then asset 2 must also have an expected return greater than r_f.

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