Question: Canvas 3. Consider the following information for the expected factor exposure returns for the next three years: Name Beta Risk-Factor Exposure Market .8 5.1% Size

Canvas 3. Consider the following information for the expected factor exposure

returns for the next three years: Name Beta Risk-Factor Exposure Market .8

Canvas 3. Consider the following information for the expected factor exposure returns for the next three years: Name Beta Risk-Factor Exposure Market .8 5.1% Size 6 -4.5% Value 1.9 3.9% Momentum .7 1.8% Idiosyncratic Vol 1.7 2.7% Liquidity 1.2 3.7% Given this information, what is the expected return using a "smart-beta" model incorporating all of the data in the table? The risk-free rate is 1.27% 20.35% 22.09% 19.26% 18.77%

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