Suppose you estimate the Fama and French 3-factor model for your portfolio using monthly returns (using % form) during a

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Suppose you estimate the Fama and French 3-factor model for your
portfolio using monthly returns (using % form) during a five year
period. You use the following model: RPortfolio – Rf = BM*(Mkt –
Rf) + BSMB*SMB + BHML*HML
Your estimates indicate the following: BM = 2; BSMB = 0.6; BHML
= 1. Using these coefficient estimates, calculate the expected
return for next month on your portfolio.
Let’s assume the expected monthly market risk premium (Mkt-Rf)
equals 1%, the expected size premium (SMB) equals 0.5%, and the
expected book-to-market (HML) premium equals 0.2%. The expected
monthly risk-free rate equals 0.2%.
Based on this data and analysis, what is the expected return
next month for your portfolio?
A) 1%
B) 1.5%
C) 2%
D) 2.3%
E) 2.7%