A market risk manager is analyzing the performance of VTFX, a large cap growth mutual fund that uses the performance of the MSCI World Large Cap Growth Index (MWG) as a benchmark. The manager runs a regression using monthly returns of VTFX as the dependent variable and monthly returns of the MWG as the explanatory variable. The constructed regression model and the results of the regression are as follows:

$VTFX_t = \beta_0 + \beta_1(MWG_t) + \varepsilon_t$

| Coefficient | Coefficient estimate | Standard error |

|-------------------|----------------------|----------------|

| $\beta_0$ | $-0.0178$ | $0.0139$ |

| $\beta_1$ | $1.2631$| `$0.04`28$ |

| Source of variation | Sum of squares | |

| Explained | $0.0527$ | |

| Residual | $0.0091$ | |

At a 95% confidence level, which of the following conclusions would be correct for the manager to make?