Which of the Following Is False About the Security Market

Multiple Choice

Which of the following is false about the security market line (SML) derived from the APT?

A) The SML has an upward slope.
B) The SML for the APT shows expected return in relation to factor intensity.
C) The SML for the APT has an intercept that does not equal the expected return on the market portfolio.
D) The benchmark portfolio for the SML may be any well-diversified portfolio.
E) The SML has a downward slope, shows expected return in relation to portfolio standard deviation, and has an intercept equal to the expected return on the market portfolio.