Question: Strategy X has a Fama-French alpha of -1% and has a factor loadings of 1, 2, and 3 on the excess market return, SMB, and

Strategy X has a Fama-French alpha of -1% and has a factor loadings of 1, 2, and 3 on the excess market return, SMB, and HML factors, respectively. Assume the factor risk premiums are each 5%. What is the stock's CAPM alpha? Assume the market risk premium is 5% and the stock's market beta is 1.

24%

25%

26%

29%

-5%

-24%

-25%

-26%

-29%

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