Question: You are trying to evaluate a funds performance. You run the so-called Fama-French three-factor model as discussed in class and obtain the following estimates (where

You are trying to evaluate a funds performance. You run the so-called Fama-French three-factor model as discussed in class and obtain the following estimates (where all numbers are monthly and all estimates are statistically significant):

R(Fund) rf = 0.005 + 0.9 (RM - rf) 0.8SMB + 0.6HML +

If you believe that the Fama-French three-factor model is the true model of the world, given the regression results, what can you say about this funds investment strategy?

No inference can be made from the given regression results.

The fund seems to focus on larger stocks and growth stocks.

The fund seems to focus on smaller stocks and value stocks.

The fund seems to focus on smaller stocks and growth stocks.

The fund seems to focus on larger stocks and value stocks

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