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For many small cap assets, using historical data to estimate the beta, results in a beta close to zero. Why is this? Briefly explain, how

For many small cap assets, using historical data to estimate the beta, results in a beta close to zero. Why is this? Briefly explain, how a fund manager should deal with this issue if (s)he plans to use a single index model to estimate a group of assets variance-covariance matrix.

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