Which of the Following Statements Is Incorrect with Respect to Cross-Hedging

Which of the following statements is incorrect with respect to cross-hedging?

A) Even when the futures contract is highly correlated with the portfolio being hedged, the value of the futures contract may change by a higher or lower percentage than the portfolio's market value.
B) If the futures contract value is more volatile than the portfolio value, hedging will require a greater amount of principal represented by the futures contracts.
C) The effectiveness of a cross-hedge depends on the degree of correlation between the market values of the two financial instruments.
D) If the price of the underlying security of the futures contract moves closely in tandem with the security being hedged, the futures contract can provide an effective hedge.
E) All of the above are correct with respect to cross-hedging.