Assume that you ran a time-series regression with your project on the Fama-French factors and found the following:

E(˜ri) − rF

= (−2%) + (1.3) . XMKT + (0.1) . UMD + (−1) . HML

+ (−0.1) . SMB What would the Fama-French-Momentummodel suggest you use as the hurdle rate for this project? Recall that E(XMKT) ≈ 8.5%, E(UMD) ≈

8.9%, E(HML) ≈ 4.6%, and E(SMB) ≈ 3.8%. Assume that the prevailing risk-free Treasury offers 3%.