Question 1 Let's again use the Portfolio Visualizer website (https://www.portfoliovisualizer.com/) we discussed in class. This time we are going to use it to look at historical estimates of the CAPM for a variety assets. On the main page of the website, click on the "Factor Regres- sion" link. a) Let's first estimate the CAPM for a Vanguard index fund that is designed to try to emulate the returns of the entire U.S. stock market. It is a mutual fund known as the Vanguard Total Stock Market Index Fund (investor shares). Its ticker symbol is VTSMX. On the webpage you are on, put this ticker symbol in the window labeled "Tickers". In the window labeled "Equity Factor Model", choose CAPM. Click on the "Factor Analysis" button. This will give you the results of the CAPM regression . What is the a and the B of this mutual fund (described on Portfolio Visualizer as "Loadings")? If the fund perfectly tracked the return of the U.S. market what would be its a and B? 2. b) Now let's run the same estimation but for another Vanguard mutual fund. The Van- guard Utilities Index Fund (ticker VUIAX) is a fund that invests only in utility com - panies such as electric utilities , gas utilities etc . What is the estimated B of this fund ? What does this tell you about the average B of utility companies . If CAPM holds , would you expect the average utility company to have a high or low expected excess return compared to the average firm? Why? Question 2 Consider a multifactor model with two factors . A well - diversified portfolio (Portfolio P) has a beta of 0.75 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and factor 2 are 1% and 7%, respectively. The risk-free rate of return is 7% . What is the expected return on portfolio P, according to a two -factor model ? Question Research has identified two systematic factors that affect U.S. stock returns. The factors are growth in industrial production and changes in long-term