I$)$ The covariance matrix $V$ is symmetric, meaning that for each stock return above the benchmark there is a stock return below the benchmark with the same magnitude.

II$)$ A stock with ${}_{\text{M}\text{a}\text{r}\text{k}\text{e}\text{t}}=1,{}_{SMB}=0\mathrm{.}7,$ and ${}_{HML}=-0\mathrm{.}4$ behaves like a small cap value stock.

a$.$ All statements are true.

b$.$ I is true, II is false.

C$.$ II is true, I is false.

d$.$ All statements are false.