The hedge fund ALPHA LLP has analyzed the returns of the S&P 500 and found that a one factor model was a good predictor of returns for most stocks, i.e. the expected returns of the stocks are determined by their sensitivity (beta) to the systematic risk factor. However, the hedge fund analysts have identified two stocks. GM and Apple, where the returns are not fully explained by the model. GM has a beta of 1.5 and an alpha of -0.02. Apple has a beta of 1.2 and an alpha of 0.044. The objective of the hedge fund is to design a market-neutral strategy to take advantage of the situation. A market-neutral strategy has no exposure to market risk, i.e. has a beta equal to 0. Explain how the hedge fund can build his market-neutral portfolio. Is this portfolio risk-free