Which of the following statements related to risk and return is FALSE?

a. the standard deviation is a statistical measure of the tendency of two or more variables to move together

b. the risk premium on stock X is the difference between the expected rate of return on stock X and the rate of return available on a risk-free asset

c. in the CAPM, the expected rate of return for a firm with a Beta of 1 will be equal to the expected rate of return on the market portfolio

d. the expected return on a portfolio is simply the weighted-average expected return of the individual assets in the portfolio, with the weights being the fraction of total portfolio value invested in each asset