Which of the following is/are true when considering cross-autocorrelation of the returns of individual securities and equally weighted portfolios?

I. In order to derive cross-autocorrelations, they must be positive and larger in magnitude than the own-autocorrelations

II. The return of an equally weighted security is a scalar, not a vector

III. While autocorrelations are negative, own-autocorrelations are positive

IV. Returns of individual securities are predictable in some ways, while portfolios are difficult to predict

Select one:

a.

None of the options

b.

II, III

c.

I, II

d.

II, IV

e.

I, II, III