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Question 3 (Mandatory) (10 points) The results of the estimated CAPM and Multifactor models for the returns of the TRBCX fund (Large Cap Growth) are
Question 3 (Mandatory) (10 points) The results of the estimated CAPM and Multifactor models for the returns of the TRBCX fund (Large Cap Growth) are given below. Explain each factor: Market, HML, SMB, MOM. What is the interpretation of negative beta for SMB factor? Would you expect it to be negative for TRBCX fund? plain excel sheet.xlsx Im(formula = r_trbcx - rm) coefficients: Estimate std. Error t value Pr (>It (Intercept) -0.001460 0.001603 -0.911 0.366 rm 1.007505 0.032584 30.921 1t| (Intercept) 0.002786 0.001384 2.013 0.049027 * rm 0.945856 0.028066 33.701
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