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Consider the following two statements on diversification: I. Positive stock returns are the same as a positive alpha II. The diversification benefit only exists when

Consider the following two statements on diversification:

I. Positive stock returns are the same as a positive alpha

II. The diversification benefit only exists when the correlation is not equal to 1 and not equal to -1.

a.

Only statement II is correct

b.

Both statements are incorrect

c.

Only statement I is correct

d.

Both statements are correct

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