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You follow up with the portfolio manager and ask them for two years of performance data which they give you. You take the data from

You follow up with the portfolio manager and ask them for two years of performance data which they give you. You take the data from year t-2 to year t-1 and run the following regression:

Ri = Rf + mRm + smbRsmb + hmlRhml

And you find that:

m = 1.05 smb = .95 hml = 1.4

Using the following returns from year t-1 to year 0:

Rf = 0 Rm = .12 Rsmb = .01 Rhml = .02

Did the portfolio manager actually do well over yr t-1 to 0- what were their FF adjusted returns?

According to the Beta coefficients, what types of risk is the manager primarily taking?

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