Which of the following statements is FALSE?

A) Margin investing is a risky investment strategy.
B) Because our return on the risk-free investments is fixed and does not move with (or against) our portfolio, the correlation between the risk-free investment and the portfolio is always equal to one.
C) Short selling the risk free investment is equivalent to borrowing money at the risk-free interest rate through a standard loan.
D) Margin investing can provide higher expected returns than investing in the efficient portfolio using only the funds we have available.

B