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Consider the period 1975-2006 (the same period as the one examined in class). A fund has the following exposures (betas) on the four factors: 1.10
Consider the period 1975-2006 (the same period as the one examined in class). A fund has the following exposures (betas) on the four factors: 1.10 (market), 0.00 (size), -0.54 (value), and -0.07 (momentum). Its four-factor alpha is equal to zero. If we were to use the CAPM for evaluating performance, the alpha of this fund would be... Positive because the market beta is above one Negative because the market beta is above one Positive because the value and momentum betas are negative Negative because the value and momentum betas are negative
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