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Posted on Aug 03, 2024

Determine the Sharpe ratio, the M-measure of performance, the Jensen's alpha and the appraisal ratio of the mutual fund, by adding the momentum factor (also

Determine the Sharpe ratio, the M-measure of performance, the Jensen's alpha and the appraisal ratio of the mutual fund, by adding the momentum factor (also from Kenneth Frenchs data library) to the Fama & French 3-factor model.

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High Low Date 02-01-2020 03-01-2020 06-01-2020 07-01-2020 08-01-2020 09-01-2020 10-01-2020 13-01-2020 14-01-2020 15-01-2020 16-01-2020 17-01-2020 21-01-2020 22-01-2020 23-01-2020 24-01-2020 27-01-2020 28-01-2020 29-01-2020 30-01-2020 31-01-2020 03-02-2020 04-02-2020 05-02-2020 06-02-2020 07-02-2020 10-02-2020 11-02-2020 12-02-2020 RF 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 Open 22.31 22.39 22.38 22.37 22.33 22.33 22.36 22.35 22.38 22.41 22.38 22.37 22.44 22.44 22.47 22.52 22.62 22.58 22.65 22.66 22.70 22.68 22.60 22.54 22.55 22.61 22.65 22.61 22.57 22.31 22.39 22.38 22.37 22.33 22.33 22.36 22.35 22.38 22.41 22.38 22.37 22.44 22.44 22.47 22.52 22.62 22.58 22.65 22.66 22.70 22.68 22.60 22.54 22.55 22.61 22.65 22.61 22.57 22.31 22.39 22.38 22.37 22.33 22.33 22.36 22.35 22.38 22.41 22.38 22.37 22.44 22.44 22.47 22.52 22.62 22.58 22.65 22.66 22.70 22.68 22.60 22.54 22.55 22.61 22.65 22.61 22.57 Close 22.31 22.39 22.38 22.37 22.33 22.33 22.36 22.35 22.38 22.41 22.38 22.37 22.44 22.44 22.47 22.52 22.62 22.58 22.65 22.66 22.70 22.68 22.60 22.54 22.55 22.61 22.65 22.61 22.57 Adi Close 22.019951 22.098911 22.089041 22.079174 22.039692 22.039692 22.069304 22.059431 22.089041 22.11865 22.089041 22.079174 22.148264 22.148264 22.177868 22.227224 22.32592 22.286446 22.355532 22.365402 22.443506 22.423733 22.344639 22.285316 22.2952 22.354528 22.394072 22.354528 22.31498 Mkt-RF 0.86 -0.67 0.36 -0.19 0.47 0.65 -0.34 0.73 -0.06 0.16 0.88 0.28 -0.32 0.08 0.08 -0.97 -1.56 1.02 -0.1 0.34 SMB -0.85 0.37 -0.06 -0.01 -0.05 -0.63 -0.16 -0.08 0.38 0.46 0.5 -0.64 -0.5 -0.27 -0.05 -0.42 0.36 -0.13 -0.26 -0.69 -0.43 0.62 -0.01 0.29 -0.45 -0.79 -0.01 0.06 0.17 HML -0.38 0.02 -0.55 -0.23 -0.64 -0.48 -0.34 -0.13 -0.13 -0.83 -0.11 -0.1 -0.61 -0.01 -0.15 -0.33 -0.42 -0.43 -0.96 0.64 -0.33 -0.7 -0.71 1.51 -0.85 -0.03 -0.91 1.06 -0.35 Mom 0.78 0.01 -0.7 o 0.96 0.75 0.22 0.67 -0.94 0.15 0.16 0.9 0.86 0.68 0.33 MAN 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.5 0.49 0.84 0.6 0.49 -0.23 0.36 -0.03 -1.8 -1.74 0.84 1.57 0.97 0.27 -0.55 0.73 0.28 0.66 0.46 0.37 1 -1.02 -0.44 High Low Date 02-01-2020 03-01-2020 06-01-2020 07-01-2020 08-01-2020 09-01-2020 10-01-2020 13-01-2020 14-01-2020 15-01-2020 16-01-2020 17-01-2020 21-01-2020 22-01-2020 23-01-2020 24-01-2020 27-01-2020 28-01-2020 29-01-2020 30-01-2020 31-01-2020 03-02-2020 04-02-2020 05-02-2020 06-02-2020 07-02-2020 10-02-2020 11-02-2020 12-02-2020 RF 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 Open 22.31 22.39 22.38 22.37 22.33 22.33 22.36 22.35 22.38 22.41 22.38 22.37 22.44 22.44 22.47 22.52 22.62 22.58 22.65 22.66 22.70 22.68 22.60 22.54 22.55 22.61 22.65 22.61 22.57 22.31 22.39 22.38 22.37 22.33 22.33 22.36 22.35 22.38 22.41 22.38 22.37 22.44 22.44 22.47 22.52 22.62 22.58 22.65 22.66 22.70 22.68 22.60 22.54 22.55 22.61 22.65 22.61 22.57 22.31 22.39 22.38 22.37 22.33 22.33 22.36 22.35 22.38 22.41 22.38 22.37 22.44 22.44 22.47 22.52 22.62 22.58 22.65 22.66 22.70 22.68 22.60 22.54 22.55 22.61 22.65 22.61 22.57 Close 22.31 22.39 22.38 22.37 22.33 22.33 22.36 22.35 22.38 22.41 22.38 22.37 22.44 22.44 22.47 22.52 22.62 22.58 22.65 22.66 22.70 22.68 22.60 22.54 22.55 22.61 22.65 22.61 22.57 Adi Close 22.019951 22.098911 22.089041 22.079174 22.039692 22.039692 22.069304 22.059431 22.089041 22.11865 22.089041 22.079174 22.148264 22.148264 22.177868 22.227224 22.32592 22.286446 22.355532 22.365402 22.443506 22.423733 22.344639 22.285316 22.2952 22.354528 22.394072 22.354528 22.31498 Mkt-RF 0.86 -0.67 0.36 -0.19 0.47 0.65 -0.34 0.73 -0.06 0.16 0.88 0.28 -0.32 0.08 0.08 -0.97 -1.56 1.02 -0.1 0.34 SMB -0.85 0.37 -0.06 -0.01 -0.05 -0.63 -0.16 -0.08 0.38 0.46 0.5 -0.64 -0.5 -0.27 -0.05 -0.42 0.36 -0.13 -0.26 -0.69 -0.43 0.62 -0.01 0.29 -0.45 -0.79 -0.01 0.06 0.17 HML -0.38 0.02 -0.55 -0.23 -0.64 -0.48 -0.34 -0.13 -0.13 -0.83 -0.11 -0.1 -0.61 -0.01 -0.15 -0.33 -0.42 -0.43 -0.96 0.64 -0.33 -0.7 -0.71 1.51 -0.85 -0.03 -0.91 1.06 -0.35 Mom 0.78 0.01 -0.7 o 0.96 0.75 0.22 0.67 -0.94 0.15 0.16 0.9 0.86 0.68 0.33 MAN 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.006 0.5 0.49 0.84 0.6 0.49 -0.23 0.36 -0.03 -1.8 -1.74 0.84 1.57 0.97 0.27 -0.55 0.73 0.28 0.66 0.46 0.37 1 -1.02 -0.44