Which of the Following Statements Is False

Which of the following statements is false?

A) The standard error provides an indication of how far the sample average might deviate from the expected return.
B) The 95% confidence interval for the expected return is defined as the Historical Average Return plus or minus three standard errors.
C) We can use a security's historical average return to estimate its actual expected return.
D) The standard error is the standard deviation of the average return.