Q.4555 Mark Truman, FRM, is estimating the expected returns of a portfolio M. The risk-free rate is currently 4.5%, and some additional data gathered by Truman is shown below: | Factors | Value | Factor betas | |------------------|-----------|--------------| | Size premium | −3.30% | -1.10 | | Value premium | 3.50% | 1.77 | | Market risk premium | 6.00% | 1.30 | If Truman is employing the Fama-French three-factor model, calculate the expected return of portfolio M. | Financial Risk Manager Part 2 Quiz - LeetQuiz