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Based on this information, which of the following statements is correct?
A
The regression suggests that both managers have greater skill than the peer group.
B
The aᵢ term measures the extent to which the manager employs greater or lesser amounts of leverage than do his/her peers.
C
If the GRT Fund were to lose 10% in the next period, the return on equity (ROE) would be -60%.
D
The sensitivity of the GRT fund to the benchmark return is much higher than that of the HCM fund.
