Total investment risk can be divided into two components $-$ systematic $($market$)$ risk and unsystematic

$($diversifiable$)$ risk.

Systematic risk refers to the portion of an asset's risk that is caused by general market movements. This

risk cannot be eliminated through diversification.

Unsystematic risk is the risk specific to an individual asset or company. This risk can potentially be

reduced or eliminated through diversification by holding it as part of a broader portfolio.

Question:

Company ABC's stock has a beta of $1\mathrm{.}2,$ indicating higher systematic market risk than average. Analysts

have also determined Company ABC has a standard deviation of returns of $30\%$ per year.

If the market has an expected standard deviation of $20\%$ per year, what are the:

$1)$ Systematic market risk for ABC stock

$2)$ Unsystematic diversifiable risk for ABC stock

a$)1)24\%2)18\%$

b$)1)20\%2)22\%$

c$)1)24\%2)6\%$

d$)1)20\%2)10\%$