Question: Standard Deviation Beta Security X 0.35 1.45 Security Y 0.28 1.06 Security Z 0.44 1.22 Which of the following is correct? A. Security Z has

Standard Deviation

 Beta

Security X

 0.35 1.45

Security Y

 0.28 1.06

Security Z

 0.44 1.22

Which of the following is correct?

A. Security Z has the greatest total risk because it has the largest standard deviation

B. Security X has the greatest total risk because it has the largest beta

C. Security X has the greatest diversifiable risk because it has the largest beta

D. Security Y has the lowest total risk because it has the lowest beta

E. An equally-weighted portfolio of XYZ will have the same systematic risk as the market portfolio

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