The most special thing about the securites market line, SML, is that it connects all portfolios with the highest ratio of return to standard deviation in the return-standard deviation space. See the diagram where th SML is denoted "Market Line" The most efficient non-leveraged fully-invested portfolio, "Market Portfolio", MP, lies where the SML touches the set of portfolios (inside the Portfolio Efficient Frontier), to which it forms the tangent.

Another special thing of the SML is that it shows how an investor (with known utility function) should leverage or dilute the MP with funds on the "Risk free rate" (diagram). The investor's most prefered exposure (Optimal Portfolio) to the MP lies where the SML forms the tangent to the investor's indifference curve.

The most special thing about the securites market line (or rather "capital market line" in this context), ML, is that it connects all portfolios with the highest ratio of return to standard deviation in the return-standard deviation space. See the diagram where the ML is denoted "Market Line" The most efficient non-leveraged fully-invested portfolio, "Market Portfolio", MP, lies where the SML touches the set of portfolios (inside the Portfolio Efficient Frontier), to which it forms the tangent.

Another special thing of the ML is that it shows how an investor (with known utility function) should leverage or dilute the MP with funds on the "Risk free rate" (diagram). The investor's most prefered exposure (Optimal Portfolio) to the MP lies where the SML forms the tangent to the investor's indifference curve.