Assume Badger Championship, LLC has a CAPM beta of 0, the risk free rate is 1.0%, and the expected return on the market portfolio is 8.2%. You also know that Badger Championship, LLC has a standard deviation of 38.2%. Given its standard deviation and its beta, what do you know about the risk of investing in Badger Championship?
Badger Championship has high idiosyncratic risk
Badger Championship has high systematic risk
Badger Championship has zero total risk
Badger Championship has high non-diversifiable risk