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Risk Factors Date BBB Mkt-RF SMB HML RMW CMA RF 1/9/17 0.0099 -0.0037 -0.0034 -0.0104 0.0013 -0.0052 0.002 1/10/17 -0.0061 0.0016 0.0093 0.0044 0.0002 0.0005

Risk Factors

Date BBB Mkt-RF SMB HML RMW CMA RF

1/9/17 0.0099 -0.0037 -0.0034 -0.0104 0.0013 -0.0052 0.002

1/10/17 -0.0061 0.0016 0.0093 0.0044 0.0002 0.0005 0.002

1/11/17 -0.0006 0.0031 -0.0015 0.0066 0.0007 0.0028 0.002

1/12/17 -0.0006 -0.003 -0.0064 -0.0088 0.0006 -0.0028 0.002

1/13/17 0.0355 0.0029 0.0059 -0.0008 -0.0029 -0.0017 0.002

1/17/17 -0.0091 -0.0049 -0.0096 -0.0063 0.0055 0.0039 0.002

1/18/17 0.0118 0.0024 0.002 0.0024 -0.0009 -0.001 0.002

1/19/17 0.0227 -0.0038 -0.0055 -0.0004 -0.0012 -0.0003 0.002

1/20/17 0.0040 0.0033 0.0009 0.002 0.0016 0.0001 0.002

1/23/17 0.0171 -0.0029 -0.0005 -0.0033 0.0043 -0.0035 0.002

1/24/17 0.0229 0.0083 0.0079 0.0082 -0.0024 0.0049 0.002

1/25/17 -0.0005 0.0084 0.0022 0.0044 -0.0019 -0.0016 0.002

1/26/17 -0.0077 -0.001 -0.0058 0.0041 -0.0005 -0.0016 0.002

1/27/17 0.0017 -0.0012 -0.0006 -0.0068 0.0013 0.0005 0.002

1/30/17 -0.0092 -0.0068 -0.0073 -0.0046 0.0066 -0.0016 0.002

1/31/17 0.0052 0 0.0081 -0.0057 -0.0041 -0.0025 0.002

2/1/17 -0.0107 0.0004 -0.0008 0.0004 0.0021 -0.0023 0.002

2/2/17 0.0093 -0.0002 -0.003 -0.0032 -0.0034 0.0016 0.002

2/3/17 -0.0009 0.0082 0.0061 0.0075 -0.0055 0.0032 0.002

2/6/17 0.0256 -0.0027 -0.0063 -0.002 0.001 -0.0021 0.002

2/7/17 -0.0011 -0.0001 -0.0037 -0.0051 0.0041 -0.0023 0.002

2/8/17 0.0179 0.0006 -0.0028 -0.0059 0.003 -0.0007 0.002

2/9/17 0.0272 0.0072 0.007 0.0007 -0.0029 0.0006 0.002

2/10/17 0.0001 0.0038 0.0041 0.0014 -0.0001 0.0015 0.002

2/13/17 0.0422 0.0049 -0.0026 0.0033 0.0002 0.0004 0.002

2/14/17 0.0014 0.0045 -0.0017 0.0035 -0.0043 -0.0008 0.002

2/15/17 -0.0043 0.0054 0.0014 -0.0042 0.002 -0.0006 0.002

2/16/17 -0.0386 -0.0016 -0.0021 0.0001 0.0034 -0.0023 0.002

2/17/17 0.0122 0.002 -0.0006 -0.0054 0.0003 -0.004 0.002

2/21/17 0.0190 0.006 0.0006 0.0013 0.003 0.0037 0.002

2/22/17 -0.0140 -0.0015 -0.0037 0.0011 0.0054 -0.0033 0.002

2/23/17 -0.0641 -0.0011 -0.0071 0.0024 -0.0023 -0.0045 0.002

2/24/17 0.0039 0.0015 -0.001 -0.0098 0.0035 -0.0023 0.002

2/27/17 -0.0419 0.0022 0.0085 -0.0033 -0.0038 -0.0014 0.002

2/28/17 0.0153 -0.0042 -0.0135 0.0016 0.0004 -0.002 0.002

3/1/17 0.0001 0.0147 0.0053 0.0078 -0.0044 0.0054 0.001

3/2/17 0.0018 -0.007 -0.0054 -0.009 0.0064 -0.0043 0.001

3/3/17 0.0044 0.0009 -0.0018 0.0013 -0.0008 -0.001 0.001

3/6/17 -0.0014 -0.0038 -0.0041 -0.0008 -0.0003 0.0001 0.001

3/7/17 -0.0104 -0.0036 -0.0035 -0.0006 0.0012 -0.0025 0.001

3/8/17 -0.0069 -0.0019 -0.0018 -0.0083 0.0047 -0.0075 0.001

3/9/17 -0.0080 0.0004 -0.0053 -0.0023 -0.0059 -0.0014 0.001

3/10/17 -0.0049 0.0034 0.0006 -0.0049 0.0024 0.0003 0.001

3/13/17 0.0102 0.0013 0.0032 -0.0006 -0.001 0.0004 0.001

3/14/17 0.0481 -0.0036 -0.0022 -0.0001 0.0052 -0.0025 0.001

3/15/17 -0.0088 0.0086 0.0069 -0.0046 -0.0017 0.0051 0.001

3/16/17 0.0247 -0.0006 0.0044 0.0023 -0.0017 -0.0036 0.001

3/17/17 -0.0021 -0.0008 0.0057 -0.0034 0.0013 0.0002 0.001

3/20/17 0.0016 -0.0025 -0.002 -0.0072 -0.0015 -0.0005 0.001

3/21/17 -0.0429 -0.0148 -0.014 -0.0072 0.0088 0.0028 0.001

3/22/17 0.0173 0.0016 -0.0033 -0.0056 0.0015 -0.0016 0.001

3/23/17 -0.0009 -0.0003 0.0074 0.0049 -0.0001 0.002 0.001

3/24/17 0.0329 -0.0005 0.001 -0.0019 -0.0032 -0.0032 0.001

3/27/17 0.0268 -0.0005 0.0046 -0.005 -0.0023 -0.0027 0.001

3/28/17 0.0268 0.0072 -0.0005 0.0072 0.0002 0.0039 0.001

3/29/17 -0.0003 0.0018 0.0031 -0.0009 -0.0036 0.0013 0.001

3/30/17 0.0019 0.0036 0.0042 0.0092 -0.0005 -0.0016 0.001

3/31/17 0.0014 -0.0016 0.0054 -0.0032 0.0002 0.0009 0.001

4/3/17 0.0727 -0.0028 -0.0114 -0.0008 -0.0013 -0.0006 0.003

4/4/17 0.0174 0.0005 -0.0025 0.0031 -0.001 0.0019 0.003

4/5/17 -0.0286 -0.0044 -0.0083 -0.003 0.0045 -0.001 0.003

4/6/17 0.0125 0.0032 0.0073 0.0048 -0.0013 0.0037 0.003

4/7/17 0.0129 -0.0008 0.0007 -0.0026 0 -0.0006 0.003

4/10/17 0.0326 0.0008 0.0014 0.0008 0.0019 0.005 0.003

4/11/17 -0.0118 -0.0005 0.008 0.0022 0.0019 0.0019 0.003

4/12/17 -0.0385 -0.0049 -0.0093 -0.0054 -0.0002 -0.0054 0.003

4/13/17 0.0241 -0.0075 -0.0034 -0.0081 -0.0005 -0.0038 0.003

4/17/17 -0.0084 0.0089 0.0029 0.0024 0.0003 -0.0014 0.003

4/18/17 -0.0039 -0.0025 0.0031 -0.0018 0.0031 0.0011 0.003

4/19/17 0.0176 -0.0008 0.0056 -0.0045 0.0043 -0.0084 0.003

4/20/17 -0.0099 0.0083 0.006 0.0026 0.0023 -0.002 0.003

4/21/17 0.0102 -0.0028 0.0006 -0.0015 0.0034 -0.0019 0.003

4/24/17 0.0080 0.0118 0.0028 0.005 -0.0006 0.0016 0.003

4/25/17 0.0187 0.0066 0.0039 -0.0006 -0.0038 0.0031 0.003

4/26/17 -0.0115 0.0004 0.0076 0.0031 0.0025 0 0.003

4/27/17 -0.0050 0.0005 -0.002 -0.0098 0.0018 -0.0057 0.003

4/28/17 0.0176 -0.003 -0.0076 -0.006 0.0008 -0.0019 0.003

5/1/17 0.0279 0.0021 0.0025 -0.0012 -0.0018 -0.005 0.003

5/2/17 -0.0122 0.0003 -0.0046 -0.0022 0.0042 -0.0035 0.003

5/3/17 -0.0247 -0.0019 -0.0051 0.0021 -0.0002 0.0013 0.003

5/4/17 -0.0500 0.0002 -0.0012 -0.0036 0.0037 -0.0072 0.003

5/5/17 0.0436 0.0046 0.001 0.0002 -0.0026 0.0065 0.003

5/8/17 -0.0038 -0.0004 -0.0021 0.0026 0.0008 0.0008 0.003

5/9/17 0.0458 -0.0005 0.004 -0.008 0.0032 -0.0037 0.003

5/10/17 0.0123 0.0021 0.0025 0.0002 -0.0034 0.0039 0.003

5/11/17 -0.0065 -0.0026 -0.0042 -0.0016 -0.0025 -0.0002 0.003

5/12/17 0.0053 -0.0018 -0.0038 -0.0059 -0.0026 -0.0033 0.003

5/15/17 -0.0275 0.0053 0.0025 0.0021 -0.0034 0.0004 0.003

5/16/17 0.0036 -0.0003 0.001 -0.0009 -0.0027 -0.0012 0.003

5/17/17 -0.0344 -0.0197 -0.0095 -0.006 0.0059 0.0029 0.003

5/18/17 0.0227 0.004 0 -0.004 -0.0036 -0.0059 0.003

5/19/17 -0.0071 0.007 -0.0034 0.0041 -0.001 0.008 0.003

5/22/17 -0.0015 0.0056 0.0026 -0.003 0.0001 -0.0031 0.003

5/23/17 -0.0209 0.0018 -0.0002 0.0064 -0.0024 0.0008 0.003

5/24/17 0.0209 0.0024 -0.0019 -0.0046 0.0013 -0.003 0.003

5/25/17 0.0213 0.0042 -0.0034 -0.0074 0.0057 -0.0063 0.003

5/26/17 0.0262 0.0006 -0.0002 0.001 0.0019 0.0014 0.003

5/30/17 0.0306 -0.0019 -0.0053 -0.0035 0.0065 -0.0004 0.003

Use TABLE below to answer the following questions. This file contains Fama and French five factor returns (Mkt- RF, SMB, HML, RMW, CMA), risk free rates (RF), Big Brothers (BBB), and Automated Air (AAA). Automated Air is an actively managed mutual fund whose goal is to outperform S&P 500 index. A. For BBB, I. Measure CAPM alpha and beta. Note: remember to take significance into consideration. Regress BBB excess returns on Fama French three factors. II. III. IV. Regress BBB excess returns on Fama French five factors. What do you observe? Explain your results. Based on the results of the Fama French five-factor model in III, what is BBB idiosyncratic risk, i.e. the standard deviation of the errors? Please provide the logic, as the full table does NOT fit in here. Use TABLE below to answer the following questions. This file contains Fama and French five factor returns (Mkt- RF, SMB, HML, RMW, CMA), risk free rates (RF), Big Brothers (BBB), and Automated Air (AAA). Automated Air is an actively managed mutual fund whose goal is to outperform S&P 500 index. A. For BBB, I. Measure CAPM alpha and beta. Note: remember to take significance into consideration. Regress BBB excess returns on Fama French three factors. II. III. IV. Regress BBB excess returns on Fama French five factors. What do you observe? Explain your results. Based on the results of the Fama French five-factor model in III, what is BBB idiosyncratic risk, i.e. the standard deviation of the errors? Please provide the logic, as the full table does NOT fit in here

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Previous Question Next Question

		Risk Factors
Date	BBB	Mkt-RF	SMB	HML	RMW	CMA	RF
1/9/17	0.0099	-0.0037	-0.0034	-0.0104	0.0013	-0.0052	0.002
1/10/17	-0.0061	0.0016	0.0093	0.0044	0.0002	0.0005	0.002
1/11/17	-0.0006	0.0031	-0.0015	0.0066	0.0007	0.0028	0.002
1/12/17	-0.0006	-0.003	-0.0064	-0.0088	0.0006	-0.0028	0.002
1/13/17	0.0355	0.0029	0.0059	-0.0008	-0.0029	-0.0017	0.002
1/17/17	-0.0091	-0.0049	-0.0096	-0.0063	0.0055	0.0039	0.002
1/18/17	0.0118	0.0024	0.002	0.0024	-0.0009	-0.001	0.002
1/19/17	0.0227	-0.0038	-0.0055	-0.0004	-0.0012	-0.0003	0.002
1/20/17	0.0040	0.0033	0.0009	0.002	0.0016	0.0001	0.002
1/23/17	0.0171	-0.0029	-0.0005	-0.0033	0.0043	-0.0035	0.002
1/24/17	0.0229	0.0083	0.0079	0.0082	-0.0024	0.0049	0.002
1/25/17	-0.0005	0.0084	0.0022	0.0044	-0.0019	-0.0016	0.002
1/26/17	-0.0077	-0.001	-0.0058	0.0041	-0.0005	-0.0016	0.002
1/27/17	0.0017	-0.0012	-0.0006	-0.0068	0.0013	0.0005	0.002
1/30/17	-0.0092	-0.0068	-0.0073	-0.0046	0.0066	-0.0016	0.002
1/31/17	0.0052	0	0.0081	-0.0057	-0.0041	-0.0025	0.002
2/1/17	-0.0107	0.0004	-0.0008	0.0004	0.0021	-0.0023	0.002
2/2/17	0.0093	-0.0002	-0.003	-0.0032	-0.0034	0.0016	0.002
2/3/17	-0.0009	0.0082	0.0061	0.0075	-0.0055	0.0032	0.002
2/6/17	0.0256	-0.0027	-0.0063	-0.002	0.001	-0.0021	0.002
2/7/17	-0.0011	-0.0001	-0.0037	-0.0051	0.0041	-0.0023	0.002
2/8/17	0.0179	0.0006	-0.0028	-0.0059	0.003	-0.0007	0.002
2/9/17	0.0272	0.0072	0.007	0.0007	-0.0029	0.0006	0.002
2/10/17	0.0001	0.0038	0.0041	0.0014	-0.0001	0.0015	0.002
2/13/17	0.0422	0.0049	-0.0026	0.0033	0.0002	0.0004	0.002
2/14/17	0.0014	0.0045	-0.0017	0.0035	-0.0043	-0.0008	0.002
2/15/17	-0.0043	0.0054	0.0014	-0.0042	0.002	-0.0006	0.002
2/16/17	-0.0386	-0.0016	-0.0021	0.0001	0.0034	-0.0023	0.002
2/17/17	0.0122	0.002	-0.0006	-0.0054	0.0003	-0.004	0.002
2/21/17	0.0190	0.006	0.0006	0.0013	0.003	0.0037	0.002
2/22/17	-0.0140	-0.0015	-0.0037	0.0011	0.0054	-0.0033	0.002
2/23/17	-0.0641	-0.0011	-0.0071	0.0024	-0.0023	-0.0045	0.002
2/24/17	0.0039	0.0015	-0.001	-0.0098	0.0035	-0.0023	0.002
2/27/17	-0.0419	0.0022	0.0085	-0.0033	-0.0038	-0.0014	0.002
2/28/17	0.0153	-0.0042	-0.0135	0.0016	0.0004	-0.002	0.002
3/1/17	0.0001	0.0147	0.0053	0.0078	-0.0044	0.0054	0.001
3/2/17	0.0018	-0.007	-0.0054	-0.009	0.0064	-0.0043	0.001
3/3/17	0.0044	0.0009	-0.0018	0.0013	-0.0008	-0.001	0.001
3/6/17	-0.0014	-0.0038	-0.0041	-0.0008	-0.0003	0.0001	0.001
3/7/17	-0.0104	-0.0036	-0.0035	-0.0006	0.0012	-0.0025	0.001
3/8/17	-0.0069	-0.0019	-0.0018	-0.0083	0.0047	-0.0075	0.001
3/9/17	-0.0080	0.0004	-0.0053	-0.0023	-0.0059	-0.0014	0.001
3/10/17	-0.0049	0.0034	0.0006	-0.0049	0.0024	0.0003	0.001
3/13/17	0.0102	0.0013	0.0032	-0.0006	-0.001	0.0004	0.001
3/14/17	0.0481	-0.0036	-0.0022	-0.0001	0.0052	-0.0025	0.001
3/15/17	-0.0088	0.0086	0.0069	-0.0046	-0.0017	0.0051	0.001
3/16/17	0.0247	-0.0006	0.0044	0.0023	-0.0017	-0.0036	0.001
3/17/17	-0.0021	-0.0008	0.0057	-0.0034	0.0013	0.0002	0.001
3/20/17	0.0016	-0.0025	-0.002	-0.0072	-0.0015	-0.0005	0.001
3/21/17	-0.0429	-0.0148	-0.014	-0.0072	0.0088	0.0028	0.001
3/22/17	0.0173	0.0016	-0.0033	-0.0056	0.0015	-0.0016	0.001
3/23/17	-0.0009	-0.0003	0.0074	0.0049	-0.0001	0.002	0.001
3/24/17	0.0329	-0.0005	0.001	-0.0019	-0.0032	-0.0032	0.001
3/27/17	0.0268	-0.0005	0.0046	-0.005	-0.0023	-0.0027	0.001
3/28/17	0.0268	0.0072	-0.0005	0.0072	0.0002	0.0039	0.001
3/29/17	-0.0003	0.0018	0.0031	-0.0009	-0.0036	0.0013	0.001
3/30/17	0.0019	0.0036	0.0042	0.0092	-0.0005	-0.0016	0.001
3/31/17	0.0014	-0.0016	0.0054	-0.0032	0.0002	0.0009	0.001
4/3/17	0.0727	-0.0028	-0.0114	-0.0008	-0.0013	-0.0006	0.003
4/4/17	0.0174	0.0005	-0.0025	0.0031	-0.001	0.0019	0.003
4/5/17	-0.0286	-0.0044	-0.0083	-0.003	0.0045	-0.001	0.003
4/6/17	0.0125	0.0032	0.0073	0.0048	-0.0013	0.0037	0.003
4/7/17	0.0129	-0.0008	0.0007	-0.0026	0	-0.0006	0.003
4/10/17	0.0326	0.0008	0.0014	0.0008	0.0019	0.005	0.003
4/11/17	-0.0118	-0.0005	0.008	0.0022	0.0019	0.0019	0.003
4/12/17	-0.0385	-0.0049	-0.0093	-0.0054	-0.0002	-0.0054	0.003
4/13/17	0.0241	-0.0075	-0.0034	-0.0081	-0.0005	-0.0038	0.003
4/17/17	-0.0084	0.0089	0.0029	0.0024	0.0003	-0.0014	0.003
4/18/17	-0.0039	-0.0025	0.0031	-0.0018	0.0031	0.0011	0.003
4/19/17	0.0176	-0.0008	0.0056	-0.0045	0.0043	-0.0084	0.003
4/20/17	-0.0099	0.0083	0.006	0.0026	0.0023	-0.002	0.003
4/21/17	0.0102	-0.0028	0.0006	-0.0015	0.0034	-0.0019	0.003
4/24/17	0.0080	0.0118	0.0028	0.005	-0.0006	0.0016	0.003
4/25/17	0.0187	0.0066	0.0039	-0.0006	-0.0038	0.0031	0.003
4/26/17	-0.0115	0.0004	0.0076	0.0031	0.0025	0	0.003
4/27/17	-0.0050	0.0005	-0.002	-0.0098	0.0018	-0.0057	0.003
4/28/17	0.0176	-0.003	-0.0076	-0.006	0.0008	-0.0019	0.003
5/1/17	0.0279	0.0021	0.0025	-0.0012	-0.0018	-0.005	0.003
5/2/17	-0.0122	0.0003	-0.0046	-0.0022	0.0042	-0.0035	0.003
5/3/17	-0.0247	-0.0019	-0.0051	0.0021	-0.0002	0.0013	0.003
5/4/17	-0.0500	0.0002	-0.0012	-0.0036	0.0037	-0.0072	0.003
5/5/17	0.0436	0.0046	0.001	0.0002	-0.0026	0.0065	0.003
5/8/17	-0.0038	-0.0004	-0.0021	0.0026	0.0008	0.0008	0.003
5/9/17	0.0458	-0.0005	0.004	-0.008	0.0032	-0.0037	0.003
5/10/17	0.0123	0.0021	0.0025	0.0002	-0.0034	0.0039	0.003
5/11/17	-0.0065	-0.0026	-0.0042	-0.0016	-0.0025	-0.0002	0.003
5/12/17	0.0053	-0.0018	-0.0038	-0.0059	-0.0026	-0.0033	0.003
5/15/17	-0.0275	0.0053	0.0025	0.0021	-0.0034	0.0004	0.003
5/16/17	0.0036	-0.0003	0.001	-0.0009	-0.0027	-0.0012	0.003
5/17/17	-0.0344	-0.0197	-0.0095	-0.006	0.0059	0.0029	0.003
5/18/17	0.0227	0.004	0	-0.004	-0.0036	-0.0059	0.003
5/19/17	-0.0071	0.007	-0.0034	0.0041	-0.001	0.008	0.003
5/22/17	-0.0015	0.0056	0.0026	-0.003	0.0001	-0.0031	0.003
5/23/17	-0.0209	0.0018	-0.0002	0.0064	-0.0024	0.0008	0.003
5/24/17	0.0209	0.0024	-0.0019	-0.0046	0.0013	-0.003	0.003
5/25/17	0.0213	0.0042	-0.0034	-0.0074	0.0057	-0.0063	0.003
5/26/17	0.0262	0.0006	-0.0002	0.001	0.0019	0.0014	0.003
5/30/17	0.0306	-0.0019	-0.0053	-0.0035	0.0065	-0.0004	0.003