Consider a long-short mutual fund that follows a dollar-neutral value-growth strategy. The fund has a maximum (gross) leverage constraint of 1.75 (i.e., LGross=((MV Long + MV Short)/(Equity Capital NAV)) is greater than or equal to 1.75).

The fund seeks to have the following fixed weights: +50 % large-value stocks, +37.5 % to small-value stocks, -50 % to large-growth stocks and -37.5 % to small-growth stocks. Compute the annualized abnormal return for the value/growth strategy.

	Small Growth	Small Value	Large Growth	Large Value
Annualized α	-2.51%	3.42%	-1.01%	1.45%

The GROWTH LARGE is given above

The answer should be provided in decimal form with three decimals. For example, write 0.105 instead of 10.5 when the correct answer is 10.5 %.

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