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Consider the following monthly data for various factors and a trading strategy: ( a ) ( 1 0 marks ) Calculate the annualised alpha of
Consider the following monthly data for various factors and a trading strategy:
a marks Calculate the annualised alpha of Strategy against a benchmark model
consisting of the market factor, the profitability factor, and the momentum factor.
Hint: You may use the Excel function LINEST or the regression function in the
Excel Data Analysis toolbox to get regression results.
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