A portfolio has a market beta of 0.8, a factor loading of 1 to SMB and...

A portfolio has a market beta of 0.8, a factor loading of 1 to SMB and a sensitivity of -2 to HML. The portfolio has earned 16% return. What was the abnormal return on the portfolio, if the risk free rate was 0%, market's excess return was 8%, the SMB factor premium was -10% and the HML factor premium was -4%?

		22%
		16.2%
		4.4%
		11.6%

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jeff jeffy answered 1 month ago

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