Which (one) of the following statements is INCORRECT?

A. When we combine stocks in a portfolio, the amount of risk that is eliminated depends on the degree to which the stocks face common risks and move together.

B. Correlation is the degree to which the returns of two stocks share common risks.

C. With a positive amount invested in each stock, the more the stocks move together and the higher their covariance or correlation, the more volatile the portfolio will be.

D. The expected return of a portfolio is a weighted average return of the stocks in the portfolio.

E. Stocks in the same industry tend to have more highly correlated returns than stocks in different industries.

F. The variance of a portfolio depends only on the variance of the individual stocks.