Homework 2 FINC 479

The following return data was obtained for mutual fund XYZ, the S&P 500, and 90-day T-Bills. Do the following analysis in Excel applying CAPM:

a) Re-type the numbers from the table above into Excel and plot the risk premium of Fund XYZ vs. the market premium

b) What is Fund XYZs beta? Hint: use the slope function in Excel.

c) What is Fund XYZs alpha? Hint: use the intercept function in Excel.

Year 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Total Return (p.a) Fund XYZ -19.40% 39.70% 17.00% 29.60% -10.40% 23.10% 24.00% -1.20% -26.80% -3.00% -24.00% 32.70% -29.20% -10.60% -23.10% 16.10% 7.80% 23.60% 37.80% 9.60% 3.20% S&P 500 -13.40% 29.70% 17.00% 21.60% -4.40% 22.10% 18.00% 0.80% -17.80% -5.00% -17.00% 22.70% -21.20% -3.60% -20.10% 11.10% 12.80% 15.60% 27.80% 13.60% 4.14% 90d T-Bills 1.10% 1.30% 1.50% 1.90% 2.00% 1.60% 1.90% 1.20% 1.60% 1.00% 1.10% 1.10% 1.20% 1.70% 1.50% 1.00% 1.90% 1.20% 1.30% 1.70% 1.44%