Which of the Following Statements Is False

Multiple Choice

Which of the following statements is false?

A) A stock's return is perfectly positively correlated with itself.
B) When the covariance equals 0, the stocks have no tendency to move either together or in opposition to one another.
C) The closer the correlation is to -1, the more the returns tend to move in opposite directions.
D) The variance of a portfolio depends only on the variance of the individual stocks.