Question Consider the returns of two active managed portfolios below (BTF & ETA) and three risk factors below Exibit 1 Monthly excess returns for Portfolio BTF and ETA Period Portfolio BTF Portfolio ETA Factor 1 Factor 2 Factor 3 1 1.08% 0% 0.01% -1.01% -1.67% 2 7.58% 6.62% 6.89% 0.29% -1.23% 3 5.0394 6.01% 4.75% -1.45% 1.92% 4 1.16% 0.36% 0.66% 0.41% 0.22% 3 -1.98% -1.58% -2.95%-3.62% 4.29% 6 4.26% 2.39% 2.86% -3.40% -1,54% 7 -0.75% -2.47% -2.72% -4,51% -1.79% 8 -15.49% -15.46% - 16.11% -5,92% 5.69% 9 6.05% 4,06% 5.95% 0.02% -3.76% 10 7.70% 6.75% 7.11% -3.36% -2.85% 11 7.76% 5.52% 5.86% 1.36% -3.68% 12 9.62% 4.89% 5.9.4% 0.31% -4.95% 13 5.25% 2.73% 3.47% 1.15% -6.16% 14 -3.19% -0.35% -4.15%-5.59% 1.66% IS 5.40% 2.59% 3.32% -3.82% -3.04% 16 2.39% 7.26% 4.47% 2.89% 2.80% 17 -2.87% 0.10% -2.39% 3.46% 3.08% 18 6.52% 3.66% 4.72% 3.42% -4.33% 19 -3.37% -0.60% -3.45% | 2.01% 0.70% 20 -1.24% -4.06% -1.35% -1,16% -1.26% 21 -1.48% 0.15% -2.68% 3.23% -3.18% 22 6,01% 5.29% 5.80% -6.53% -3.19% 23 2.05% 2.28% 3.20% 7.71% -8,09% 24 7.20% 7.09% 7.83% 6.98% -9,05% 25 -4.81% -2.79% -4.43% 4.08% -0.16% 26 1% -2.04% 2.55% 21.49% -12.03% 27 9.05% 5.25% 5.13% -16,69% 7.81% 28 -4.31% -2.96% -6,24% -7.53% 8.59% 29 -3.36% -0.63% -4.27% -5.86% 5.38% 30 3.86% 1.80% 4.67% 13.31% -8.78% ||||| Required a. Theoretically what should be the values of the correlation coefficient between the risk factors in exhibit 12 How close are the correlation coefficient between the risk factors in exhibit 1 in satisfying this theoretical condition? /5/