In this problem you are going to work with some real-world data. File mfunds_data.xlsx contains historical...
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In this problem you are going to work with some real-world data. File mfunds_data.xlsx contains historical returns of three mutual funds Ticker Fund name DFUSX DFA U.S. Large Company Portfolio LADYX Lord Abbett Developing Growth Fund VSGIX Vanguard Small-Cap Growth Index Fund Investment style Large-Cap Small-Cap Growth Small-Cap Growth from Morningstar Direct. For your convenience, I included data on the Fama-French research factors in the same file. a. [1pt] Calculate average returns for the funds we are interested in. b. [3pts] Estimate the CAPM for the funds: ri r = i + Bi (1mkt r) + i Note: don't forget to use excess returns (not returns) on the left-hand side of your regression! Report the CAPM alphas, their t-stats, and the CAPM betas. Note: you don't need to report all the output you got from the Analysis ToolPack or your favorite statistical software. c. [1pt] Which fund had the highest CAPM alpha? Is this alpha statistically significantly different from zero? In this problem you are going to work with some real-world data. File mfunds_data.xlsx contains historical returns of three mutual funds Ticker Fund name DFUSX DFA U.S. Large Company Portfolio LADYX Lord Abbett Developing Growth Fund VSGIX Vanguard Small-Cap Growth Index Fund Investment style Large-Cap Small-Cap Growth Small-Cap Growth from Morningstar Direct. For your convenience, I included data on the Fama-French research factors in the same file. a. [1pt] Calculate average returns for the funds we are interested in. b. [3pts] Estimate the CAPM for the funds: ri r = i + Bi (1mkt r) + i Note: don't forget to use excess returns (not returns) on the left-hand side of your regression! Report the CAPM alphas, their t-stats, and the CAPM betas. Note: you don't need to report all the output you got from the Analysis ToolPack or your favorite statistical software. c. [1pt] Which fund had the highest CAPM alpha? Is this alpha statistically significantly different from zero?
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Related Book For
Managerial Accounting
ISBN: 978-0697789938
13th Edition
Authors: Ray H. Garrison, Eric W. Noreen, Peter C. Brewer
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