True/False/Uncertain. For each statement below, identify the statement as true, false, or uncertain. If the statement is false, rewrite the statement so that it will be true. If the statement is uncertain, explain why.

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

B. Over the years since the discovery of the CAPM, it has become increasingly clear to researchers and practitioners alike that forming portfolios based on market capitalization, book-to-market ratios, and past returns, one can construct trading strategies that have a positive alpha.

C. A 6% coupon, 17-year maturity bond selling above par value is more sensitive to changes in interest rates than a 6% coupon, 17-year maturity bond selling at par value.

D. If two stocks move together, their returns will tend to be above average at the same time or below at the same, and the covariance will be positive.