Which of the following statements is false?

A) Researchers use a proxy portfolio like the S&P/TSX Composite Index in Canada or the S&P 500 Index in the U.S. and assume that it will be highly correlated with the true market portfolio.

B) Many mutual funds exist that follow both the momentum-based trading strategy and the market capitalization/book-to-marketbased strategy.

C) The true market portfolio should not consist of all traded investment wealth in the economy.

D) If the true market portfolio is efficient but the proxy portfolio is not highly correlated with the true market, then the proxy will not be efficient and stocks will have nonzero alphas.