Some of a portfolio consists of stock A, which has an expected return of 13.7% and a standard deviation of returns of 24.6%, and the rest of the portfolio consists of stock B, which has an expected return of 13.7% and a standard deviation of returns of 24.6%. If the returns of stock A and stock B do not move perfectly together in the same direction by the same relative amount, then which one of the following assertions is true? Assume that the portfolio has at least some stock A and some stock B.