A (3 points) 6. Sebastian believes in a two-factor model and the Arbitrage Pricing Theory. The two factors are F and F2. Letre and re be the monthly factor portfolio returns. Sebastian employs the two-factor model to calculate the benchmark returns for Kainos Wealth Fund's portfolio P. P is well-diversified. Using historical monthly data, Sebastian calculates the following parameters: Historical Estimates Average of rp 1.5% (monthly) Average of a 2.5% (monthly) Average of rf, 1.8% (monthly) Beta Bri 2/3 Beta Bp2 -0.2 Average of ry (91-day T-bill) 0.5% 0.1% Average of rs (28-day T-bill) Sebastian will only invest in Kainos if P earns positive alpha in the past 5-year window Will Sebastian invest? Numeric results required. 5 points A (3 points) 6. Sebastian believes in a two-factor model and the Arbitrage Pricing Theory. The two factors are F and F2. Letre and re be the monthly factor portfolio returns. Sebastian employs the two-factor model to calculate the benchmark returns for Kainos Wealth Fund's portfolio P. P is well-diversified. Using historical monthly data, Sebastian calculates the following parameters: Historical Estimates Average of rp 1.5% (monthly) Average of a 2.5% (monthly) Average of rf, 1.8% (monthly) Beta Bri 2/3 Beta Bp2 -0.2 Average of ry (91-day T-bill) 0.5% 0.1% Average of rs (28-day T-bill) Sebastian will only invest in Kainos if P earns positive alpha in the past 5-year window Will Sebastian invest? Numeric results required. 5 points