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Problem 2 In this problem you are going to work with some real-world data. File mfunds_data.xlsx contains historical returns of three mutual funds Ticker Fund
Problem 2 In this problem you are going to work with some real-world data. File mfunds_data.xlsx contains historical returns of three mutual funds Ticker Fund name Investment style DFUSX DFA U.S. Large Company Portfolio Large-Cap LADYX Lord Abbett Developing Growth Fund Small-Cap Growth VSGIX Vanguard Small-Cap Growth Index Fund Small-Cap Growth from Morningstar Direct. For your convenience, I included data on the Fama-French research factors in the same file. a. [1pt] Calculate average returns for the funds we are interested in. b. [3pts) Estimate the CAPM for the funds: Ti-Ti = a1 + Bi(mkt -ry) + Note: don't forget to use excess returns (not returns) on the left-hand side of your regression! 1 Report the CAPM alphas, their t-stats, and the CAPM betas. Note: you don't need to report all the output you got from the Analysis ToolPack or your favorite statistical software. c. [lpt] Which fund had the highest CAPM alpha? Is this alpha statistically significantly different from vero? Problem 2 In this problem you are going to work with some real-world data. File mfunds_data.xlsx contains historical returns of three mutual funds Ticker Fund name Investment style DFUSX DFA U.S. Large Company Portfolio Large-Cap LADYX Lord Abbett Developing Growth Fund Small-Cap Growth VSGIX Vanguard Small-Cap Growth Index Fund Small-Cap Growth from Morningstar Direct. For your convenience, I included data on the Fama-French research factors in the same file. a. [1pt] Calculate average returns for the funds we are interested in. b. [3pts) Estimate the CAPM for the funds: Ti-Ti = a1 + Bi(mkt -ry) + Note: don't forget to use excess returns (not returns) on the left-hand side of your regression! 1 Report the CAPM alphas, their t-stats, and the CAPM betas. Note: you don't need to report all the output you got from the Analysis ToolPack or your favorite statistical software. c. [lpt] Which fund had the highest CAPM alpha? Is this alpha statistically significantly different from vero
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