1) Suppose the market follows a Fama-French Three-factor model (FF3), where the market has expected return of 0.07, E(r_hml) is 0.08, and E(r_smb) is 0.11. Suppose a stock has market beta of 1.2, HML beta of 1, and SMB beta of 1.8. Given the risk-free rate is 0.03, what is the expected return of this stock?

		0.392
		0.326
		0.362
		0.356
		0.268

2)

The standard deviation of return on investment A is 0.2, while the standard deviation of return on investment B is 0.4. If the covariance between the returns on A and B is -0.04, the correlation of returns on A and B is _________.

		-0.5
		-0.0032
		-0.02
		-0.08