Which of the following statements is false? None of the statements is false. O A trading strategy that each year short sell portfolio S (small stocks) and uses this position to buy portfolio B (big stocks) has produced positive risk adjusted returns historically. This self-financing portfolio is widely known as the small minus big (SMB) portfolio. O The Fama-French factor specification was identified a little more than ten years ago. Although it is widely used in academic literature to measure risk, much debate persists about whether it really is a significant improvement over the CAPM. The self-financing portfolio made from high minus low book-to-market stocks is called the high- minus-low (HML) portfolio. Because expected returns are not easy to estimate, each portfolio that is added to a multifactor model increases the difficulty to implement the model