b) For an equity Long/Short fund, we run a multivariate regression on the market, size(SMB), value(HML), and momentum(UMD) factors. The regression results are as below: Constant 0.20% 2.20 Mkt-Rf 0.20 Coefficient t-value SMB 0.18 3.25 HML -0.19 -3.27 UMD 0.29 6.89 1.30 j) Discuss what are the SMB, HML, and UMD factors. (6 marks) ii) Interpret the market beta of the equity long/short fund. (3 marks) iii) Suppose we run a six-factor model, including market, size, value, momentum, profitability (RMW) and investments (CMA). The regression results are as below: Coefficient t-value Constant 0.10% 1.20 Mkt-Rf 0.18 1.18 SMB 0.19 3.29 HML -0.21 -3.56 UMD 0.27 5.89 RMW 0.30 2.12 -0.05 -1.11 Compare the six-factor alpha with the four-model alpha and discuss the difference in the context of active fund management. (6 marks) c) Discuss how effective different forms of shareholder activism are in delivering positive sustainability outcomes. (7 marks) (TOTAL 30 MARKS) b) For an equity Long/Short fund, we run a multivariate regression on the market, size(SMB), value(HML), and momentum(UMD) factors. The regression results are as below: Constant 0.20% 2.20 Mkt-Rf 0.20 Coefficient t-value SMB 0.18 3.25 HML -0.19 -3.27 UMD 0.29 6.89 1.30 j) Discuss what are the SMB, HML, and UMD factors. (6 marks) ii) Interpret the market beta of the equity long/short fund. (3 marks) iii) Suppose we run a six-factor model, including market, size, value, momentum, profitability (RMW) and investments (CMA). The regression results are as below: Coefficient t-value Constant 0.10% 1.20 Mkt-Rf 0.18 1.18 SMB 0.19 3.29 HML -0.21 -3.56 UMD 0.27 5.89 RMW 0.30 2.12 -0.05 -1.11 Compare the six-factor alpha with the four-model alpha and discuss the difference in the context of active fund management. (6 marks) c) Discuss how effective different forms of shareholder activism are in delivering positive sustainability outcomes. (7 marks) (TOTAL 30 MARKS)