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The factor models for the returns on Omni, Inc., (OM) and Garbo Manufacturing (GAR) are:
ROM = 20.0% − 1.0(FCONF) + 1.4(FTIME) + εOM RGAR = 15.0% − 0.5(FCONF) + 0.8 (FTIME) + εGAR What is the factor sensitivity to the time-horizon factor (TIME) of a portfolio invested 20% in Omni and 80% in Garbo? A. -0.60. B. 0.16. C. 0.92. |