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A fund manager believes that Apple's stock price is going to fall over the coming month, with an alpha of -1.6%. The manager sells short
A fund manager believes that Apple's stock price is going to fall over the coming month, with an alpha of -1.6%. The manager sells short 75 million dollars of Apple stock. The futures contract multiplier is 200, and the S&P 500 index value is 2,900. The risk-free rate is 1.7%. The output of the regression of monthly returns on Apple stock against the S&P 500 index is presented in the table. Alpha Beta R-square Standard deviation of residuals 0.03 0.5 0.75 0.05
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