15. Go to Kenneth Frenchs data library site at http://mba.tuck.dartmouth.edu/pages/faculty/ ken.french/data_library.html. Select two industry portfolios of your...
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15. Go to Kenneth French’s data library site at http://mba.tuck.dartmouth.edu/pages/faculty/
ken.french/data_library.html. Select two industry portfolios of your choice and download 36 months of data. Download other data from the site as needed to perform the following tasks.
a. Compare the portfolio’s performance to that of the market index on the basis of the various performance measures discussed in the chapter. Plot the monthly values of alpha plus residual return.
b. Now use the Fama-French three-factor model as the return benchmark. Compute plots of alpha plus residual return using the FF model. How does performance change using this benchmark instead of the market index?
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