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Suppose the average return on T-Bills was 2%. The average factor risk premiums were the...

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Finance

Suppose the average return on T-Bills was 2%. The average factor risk premiums were the following:

market (MKT): 6%

size (SMB): 2%

value (HML): 3%

We have the following information about three fund managers:

Manager Average return % Market beta SMB beta HML beta

Nancy 15 1.1 0.2 -0.7

John 10 -0.5 1.3 0.3

David 11 0.9 0.1 -1.1

What are the realized Fama-French three factor alphas for these managers?

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