Which of the following statements is FALSE?

a		Portfolios containing firms with the highest realized returns over the previous six months have positive alphas over the next six months.
b		Over the years since the discovery of the CAPM, it has become increasingly clear to researchers and practitioners alike that forming portfolios based on market capitalization, book-to-market ratios, and past returns, one can construct trading strategies that have a positive alpha.
c		A momentum strategy is one where you buy stocks that have had low past returns and (short) sell stocks that have had high past returns.
d		An efficient portfolio cannot be diversified further, that is there is no way to reduce the risk of the portfolio without lowering its expected return.