Can someone please let me know: 1. I go long 1mil of the "market" to get beta = 1 and so can expect say 5% equity risk premium (return over riskfree rate). 2. I go long 1mil of ABC which has a beta = 1.4 and short 1mil of XYZ which has beta = 0.4 to get a net beta = 1. This trade has zero-cost. What is my expected return?