True or False? -- Stock A has an expected return of 20% and a standard deviation of 20%. Stock B has an expected return of 10% and a standard deviation of 10%. If both the red line and the blue line describe the efficient frontier of stocks A and B for two different time frames, the correlation coefficient between the two stocks must be lower for the blue line than for the red line.

25% 20% Stock A 15% Expected Return 10% Stock B 5% 0% 0% 5% 10% 15% 20% 25% Standard Deviation