Estimated factor loadings (betas) for the Mystery Fund, according to the Fama-French 3 Factor model (FF3), are reported in the table below, along with annual factor expected returns.

 If the Mystery Fund's annual return was 10%, its FF3 alpha was 5%, and the risk-free rate was 2% over the same period, what was the fund's FF3 size beta?

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Factor loading Factor expected Factor (beta) return Market 1.10 6.5% Size ? 3.3% Value -0.59 4.2% Factor loading Factor expected Factor (beta) return Market 1.10 6.5% Size ? 3.3% Value -0.59 4.2%

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Answer We can use the information provided to solve for the FF3 size beta of the Mystery Fund Heres ... View the full answer