correct answer0.0273

The following data is presented at a monthly frequency. It includes the five FamaFrench factors along with the returns earned by Strategy Z. Calculate the annualised alpha of Strategy Z against a benchmark model consisting of the market factor, the profitability factor, and the momentum factor. Hint: You can use the Excel function LINEST() to get regression results. Note: Final answers should be entered in decimal form with 4 decimal places (e.g. 0.0514 not 5.14% ). The following data is presented at a monthly frequency. It includes the five FamaFrench factors along with the returns earned by Strategy Z. Calculate the annualised alpha of Strategy Z against a benchmark model consisting of the market factor, the profitability factor, and the momentum factor. Hint: You can use the Excel function LINEST() to get regression results. Note: Final answers should be entered in decimal form with 4 decimal places (e.g. 0.0514 not 5.14% )