27. A risk manager has estimated a regression of a firm’s monthly portfolio returns against the returns of three US domestic equity indexes: the Russell 1000 Index, the Russell 2000 Index, and the Russell 3000 Index. The results are shown below:

Regression statistics
Multiple R
R-squared
Adjusted R-squared
Standard error
Observations

Regression output	Coefficients	Standard error	t-stat	P-value
Intercept	0.0023	0.0006	3.5305	0.0005
Russell 1000	0.1093	1.5895	0.0688	0.9452
Russell 2000	0.1055	0.1384	0.7621	0.4470
Russell 3000	0.3533	1.7274	0.2045	0.8382

Correlation matrix	Portfolio returns	Russell 1000	Russell 2000	Russell 3000
Portfolio returns	1.000
Russell 1000	0.937	1.000
Russell 2000	0.856	0.813	1.000
Russell 3000	0.945	0.998	0.845	1.000

Based on the regression results, which statement is correct?