The following two statements relate to Capital Asset Pricing Model. Choose the correct code for the statements being correct or incorrect. Statement I: Beta is a measure of a security's risk relative to the risk of the market portfolio. Statement II: The value of Beta measures both the systematic and the unsystematic risks of a security.

Statement I is correct, but II is incorrect. Statement I is correct because Beta is indeed a measure of a security's systematic risk relative to the market as a whole. It quantifies how much a security’s returns move in relation to overall market returns. Statement II is incorrect because Beta measures only systematic risk, which is the inherent risk associated with the overall market. Unsystematic risk, which is specific to a single company or industry, is not captured by Beta and is expected to be diversified away in a well-diversified portfolio.