Which of the following is/are TRUE?
I. The standard deviation of a portfolio of two or more securities is always equal to the weighted average of the standard deviation of each of the individual securities in the portfolio.
II. A beta value of 2.0 for a security indicates the security has greater-than-average systematic risk, and, in this case, it indicates the security is twice as risky as market.
III. A beta value of 0.5 for a security the security has below-average systematic risk, and, in this case, it indicates the security is half as risky as market.