Which of the following statements is true regarding a zero beta investment?

A zero beta investment has a beta coefficient of zero, which indicates that it has no correlation with the overall market movements. This means that the returns of a zero beta investment do not depend on market fluctuations, thereby making it unable to contribute to the total market risk of an investment portfolio.

In contrast, a standard market investment typically has a beta greater than zero, thus its performance is influenced by market conditions. Since zero beta investments are not affected by market movements, they can be considered as a way to diversify a portfolio without adding to the market risk.

The other options suggest concepts that do not align with the characteristics of zero beta investments. While zero beta investments can carry their own specific risks, they are not necessarily riskier than market investments. Additionally, they do not guarantee returns, which makes the assertion that they have no potential for returns inaccurate. They also differ from risk-free investments, which typically involve a certain level of expected return without the associated risks of market fluctuations.