2. A Hedge Fund manager has run a portfolio for the past 10 years and has compiled the following historical performance data. Year Return Beta 2011 14.3% 1.25 2012 34.1% 1.26 2013 36.8% 1.29 2014 16.8% 1.15 2015 4.1% 1.10 2016 24.9% 1.12 2017 26.7% 1.14 2018 14.5% 1.15 2019 36.4% 1.20 2020 25.4% 1.18 a. The benchmark is the S&P 500. You can assume the expected return on the market is 10% and the risk-free rate is 1%. Given this, decompose the returns into their expected, systematic, and unsystematic components. (10 pts) b. Consider a six-factor model: MRP, Size, Value, Profitability, Investment, and Momentum. Those factors for the years in question are below. Given this, what is the Jenson's Alpha for this portfolio? Is this a "good" investor? (10 pts) MRP SIZE VALUE PROF INV MOM RF 2011 0.44 -5.56 -8.54 13.49 -0.97 7.16 0.04 2012 16.27 -0.44 9.85 -5.23 9.22 1.28 0.06 2013 35.2 8.27 2.65 -4.18 0.99 7.5 0.02 2014 11.71 -7.9 -1.46 1.38 -1.45 1.01 0.02 2015 0.08 -5.81 -9.53 1.15 -8.7 20.62 0.02 2016 13.3 9.2 22.64 4.5 9.9 -21.36 0.2 2017 21.51 -6.1 -13.48 4.71 -11.57 4.62 0.8 2018 -6.93 -5.23 -9.8 -1.28 0.01 9.74 1.81 2019 28.28 -6.19 -10.48 4.22 -3.3 -1.8 2.14 2020 23.67 3.16 -46.31 -5.31 -11.69 7.79 0.44