Suppose that a funds average annualized return is 9.8% and the riskless rate is 2.2%. The fund portfolios betas in CAPM, Fama-French, and Carhart models are given as follows:

CAPM Fama-French Carhart

MKT 0.45 0.37 0.43

SMB 0.23 0.44

HML 0.95 1.14

UMD -0.92

The average market risk premium in this period is 7.50%. Furthermore, the average factor returns

are 4.50% for the size factor (SMB), 4.00% for the value factor (HML), and 8.70% for the momentum factor (UMD).

Based on this information, which of the following statements is correct?

	A.	The funds alpha based on the Fama-French model is -0.01%.
	B.	The funds alpha based on CAPM is 5.84%.
	C.	The funds alpha based on the Carhart model is 4.23%.
	D.	The funds returns are negatively correlated with the market portfolio.