During a seminar on modern portfolio theory, which is a framework for constructing a portfolio of assets that maximizes expected return for a given level of risk, two risk analysts are present. The seminar includes a detailed presentation on key concepts such as the efficient frontier (which represents the set of optimal portfolios offering the highest expected return for a defined level of risk), the capital market line (CML, which depicts the risk-reward profile of efficient portfolios in the market considering a risk-free asset), and the Capital Asset Pricing Model (CAPM, which describes the relationship between systematic risk and expected return for assets). Based on the assumption that the CAPM holds true, which of the following statements can the analysts accurately conclude?