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2 (50 points). In this task please utilize the Excel spreadsheet called FFportfolios posted in the reading materials for Week 2. Using the software of
2 (50 points). In this task please utilize the Excel spreadsheet called FFportfolios posted in the reading materials for Week 2. Using the software of your choice, for the four Fama-French portfolios (big/value, big/growth, small/value, small/growth) please compute (and provide the relevant spreadsheet or code for the computations): a. arithmetic average of returns (10 points), b. their standard deviation (10 points), c. risk premia (10 points), d. standard deviations of excess returns ( 10 points), e. Sharpe ratios. When looking at Sharpe ratios, please indicate which of the portfolios is the most and which is the least attractive. (10 points) FFportfolios 2 (50 points). In this task please utilize the Excel spreadsheet called FFportfolios posted in the reading materials for Week 2. Using the software of your choice, for the four Fama-French portfolios (big/value, big/growth, small/value, small/growth) please compute (and provide the relevant spreadsheet or code for the computations): a. arithmetic average of returns (10 points), b. their standard deviation (10 points), c. risk premia (10 points), d. standard deviations of excess returns ( 10 points), e. Sharpe ratios. When looking at Sharpe ratios, please indicate which of the portfolios is the most and which is the least attractive. (10 points) FFportfolios
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