A. Incorrect because the two assets also have different levels of unsystematic risk to maintain the same total variance. B. Incorrect because the two assets also have different levels of systematic risk, as indicated by their different levels of expected return (according to the CAPM). C. Correct because the CAPM asserts that the expected returns of assets vary only by their systematic risk as measured by beta. Hence, if the two assets have different expected returns and are correctly priced according to the CAPM, they must have different levels of systematic risk. Moreover, Total variance = Systematic variance + Nonsystematic variance. Although the equality relationship is between variances, you will find frequent references to total risk as the sum of systematic risk and nonsystematic risk. The assets must have different levels of unsystematic risk since their total variances are the same but they each have different levels of systematic variance/risk.