1 pts Which of the following statements is correct about multi-factor models (only one statement is correct) The SMB factor is constructed as the returns of a strategy that buys the bottom 10% of frims in terms of market capitalization and short-sells the top 10%. A growth firm should have a positive exposure to the HML factor The alpha of a multi-factor model regression is always equal to zero The UMD factor is constructed as the returns of a strategy that buys the bottom 10% of firms in terms of past returns and short-sells the top 10%