Which of the following is an INCORRECT statement about correlation? A. The standard deviation of a large portfolio should be less than the standard deviation of a small portfolio B. If the returns on two stocks have negative correlation, they tend to move in opposite directions C. You can effectively reduce investment risk by selecting stocks with a high correlation coefficient D. Most stocks do not have perfect positive correlation with the market Which of the following is an INCORRECT statement about correlation? A. The standard deviation of a large portfolio should be less than the standard deviation of a small portfolio B. If the returns on two stocks have negative correlation, they tend to move in opposite directions C. You can effectively reduce investment risk by selecting stocks with a high correlation coefficient D. Most stocks do not have perfect positive correlation with the market