Pegasus2008

If you calculate the slope of the CML from the graph at Rm, you will see that at the market return of Rm, you have the highest point on the curve. The slope is simply rise over run, so it is (Rm-Rf) / (std deviation of market - std deviation of risk-free asset), which is (Rm-Rf) / (std deviation of market - 0), which is (Rm-Rf) / std deviation of market. So, you should invest by including some Rm in your portfolio to get the best return per unit of risk..something like that!