Alan is an investment analyst working for an Australian super fund. He is currently doing the Chartered Financial Analyst (CFA) program and learned the Fama-French three-factor model. He is very excited about the Size factor and told his colleague James that they can generate an alpha from investing in the Size factor. But James replied that the size factor is a beta return in his view. i. In today's market, is the Size factor more of an alpha or beta return? Justify your answer. (4 marks, Word limit: 80) Alan is confused and asks James why. James replies that, to answer this question, they need to distinguish the definition of alpha in the Capital Asset Pricing Model (CAPM) and that in a multifactor model. ii. Define alpha in both CAPM and a multifactor model. (4 marks, Word limit: 40)