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, does the fund manager seem to have any skill?

A.

Yes.

B.

It depends on other factors.

C.

It depends on the reputation of the fund manager.

D.

No.

E.

It depends on the historical performance of other competing fund managers.