You investigate the annualized monthly returns on a market (S&P 500) index fund and another smart beta fund and calculate the following statistics: Mean Return Return Volatility S&P 500 Index Fund 7.2% 16.1% Smart Beta Fund 12.3% 18.9% A regression of the smart beta fund on the Fama-French factors yields betas of 0.6 on the market excess return, 0.2 on SMB and 0.8 on HML. The average return of the SMB factor (E[SMB]) is 4% and the average return on the HML factor is (E[HML]) 5%. The annualized riskless rate has been 1% over your sample. What is the Smart Beta Fund's Fama-French 3-factor alpha? A. 4.78% B. 3.78% C. 2.78% D. 1.78%