Part II. Problems 1. You have run a portfolio for the past 10 years, to the following returns. In addition, you have the Fama-French Factors for that period of time. Year Portfolio Return Mkt-rf SMB HML RF 1 15.50 30.75 26.18 5.40 3.02 2 12.20 15.96 -3.72 6.13 5.21 3 8.05 11.55 5.90 14.77 4.35 4 -2.30 -3.87 -11.00 -1.64 5.47 5 -11.98 -15.2 18.09 19.52 3.83 6 -3.12 -17.54 -13.98 -9.81 4.58 7 5.57 1.04 -7.14 -14.65 4.66 8 14.91 17.37 13.78 -5.31 2.12 9 22.16 28.28 -5.93 -12.14 2.14 10 18.71 22.13 5.57 -25.05 3.24 a. You assume the expected return on the market is the average of the market return (from the table). Same with the risk-free rate. Given this, what is the expected return on the portfolio according to CAPM? (10 pts) b. What is the Sharpe Ratio of your portfolio? (5 pts) c. What is the probability of you losing money next year (i.e., a return of less than 0%)? (5 pts)