OPEN QUESTIONS Question 1 Mutual funds Consider the regression output table 1.1 below which is the output of a Carhart 4-factor asset pricing model: Table 1.1 Y = + m*r+ smb*rSMB+ hml*THML+ mom *rOM. Fund with particular investment style Annual alpha M SMB Aggressive growth Growth -2.02** Value Small cap -1.85** -1.50 -2.25** HML MOM Radj 1.12** 0.55** -0.34** 0.03** 0.95 0.96** -0.14 -0.04 0.02** 0.98 0.83** -0.03** -0.19** 0.06 0.97 0.95** 0.78** -0.04** 0.08** 0.98 ** Denotes significance at the 5% level. Investment style refers to various types of active Mutual funds and their related investment style. a) Given the results in table 1.1, mention for each fund style (aggressive growth, growth, value, small cap) whether they did invest according to their strategy and motivate your answer. (8 points) Consider the regression output table 1.2, which is another Carhart 4-factor asset pricing model: Y = + m*r+smb*rSMB+ hml*HML+ mom*rOM. OPEN QUESTIONS Question 1 Mutual funds Consider the regression output table 1.1 below which is the output of a Carhart 4-factor asset pricing model: Table 1.1 Y = + m*r+ smb*rSMB+ hml*THML+ mom *rOM. Fund with particular investment style Annual alpha M SMB Aggressive growth Growth -2.02** Value Small cap -1.85** -1.50 -2.25** HML MOM Radj 1.12** 0.55** -0.34** 0.03** 0.95 0.96** -0.14 -0.04 0.02** 0.98 0.83** -0.03** -0.19** 0.06 0.97 0.95** 0.78** -0.04** 0.08** 0.98 ** Denotes significance at the 5% level. Investment style refers to various types of active Mutual funds and their related investment style. a) Given the results in table 1.1, mention for each fund style (aggressive growth, growth, value, small cap) whether they did invest according to their strategy and motivate your answer. (8 points) Consider the regression output table 1.2, which is another Carhart 4-factor asset pricing model: Y = + m*r+smb*rSMB+ hml*HML+ mom*rOM.