What's wrong with the following statement: The CAPM says that the expected return on a given stock

Question:

What's wrong with the following statement: "The CAPM says that the on a given stock j is equal to the best possible replication that one can obtain using the risk-free assets and the set of all risky assets (other than stock j)."
Expected Return
The expected return is the profit or loss an investor anticipates on an investment that has known or anticipated rates of return (RoR). It is calculated by multiplying potential outcomes by the chances of them occurring and then totaling these...