1.Pick six publicly-traded companies of your choice from different industries.

2.Download a history of monthly stock prices of all six companies from Factset over the period 01/01/2000 through 12/31/2018.

3.Download risk factors from http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Note: factor returns are expressed in percentages.Make appropriate adjustments.

4.Form 2 (two) portfolios of your six firms by placing three companies in each.

5.Calculate monthly equally-weighted returns for both portfolios.

6.Using the portfolio monthly returns, run single index regressions and three-factor models for both portfolios separately.Your results should appear in four new tabs.

7.A) Comment on the statistical significance and magnitude of beta coefficients from all four regressions.

B) Based on your SMB and HML results, comment on the type of stocks (and their performance) each portfolio contains.

8.Discuss the "goodness of fit" (this is another name for R-squared) of each of the four models using your regression outputs. How does this measure change when you add SMB and HML factors? Why does it change?

9.Show your work. Using the 3-factor model output, calculate the expected returns for each portfolio given the following projected factor returns :

Factor returns

Market - Risk free rate 1.1%

SMB -0.13%

HML 0.28%

Risk-free rate 0.01%

10.Suppose the actual excess return of the first portfolio is 1.5% and the actual excess return of the second portfolio is 1.8%; the actual (Mkt-RF) is 1.12%, the actual SMB is (-0.15%), and the actual HML is 0.24%. Calculate each realized portfolio alpha.Show your work.