The results of the estimated CAPM and Multifactor models for

the returns of the TRBCX fund (Large Cap Growth) are given in the image

(a) What is the implication of intercept coefficient? What is the interpretation of each slope coefficient ?

(b) Which model better explains TRBCX fund returns: the CAPM or the Multifactor Model?

Dependent Variable: TRBCX-TBILLS Method: Least Squares Date: 03/05/09 Time: 23:08 Sample: 2000MO1 2004M12 Included observations: 60 Coefficient Std. Error t-Statistic Prob. 0.001460 0.001603 -0.910513 0.3663 MARKET-TBILLS 1.007505 0.032584 30.92063 0.0000 R-squared Adjusted R-squared 0.941819 S.D. dependent var 0.051436 S.E. of regression 0.012407 Akaike info criterion -5.908401 Sum squared resid 0.008928 Schwarz criterion 5.838589 0.942806 Mean dependent var-0.003523 Dependent Variable: TRBCX-TBILLS Method: Least Squares Date: 03/05/09 Time: 23:09 Sample: 2000M01 2004M12 Included observations: 60 Variable Coefficient Std. Error t-Statistic Prob. 0.002786 0.001384 2.012929 0.0490 MARKET-TBILLS 0.945856 0.028066 33.70144 0.0000 0.147367 0.037885 -3.889863 0.0003 0.114167 0.029434 3.878695 0.0003 0.083496 0.017658-4.728609 0.0000 HML SMB R-squarecd Adjusted R-squared 0.967615 S.D. dependent var 0.051436 S.E. of regression 0.009256 Akaike info criterion -6.447370 Sum squared resid 0.004712 Schwarz criterion 6.272841 0.969811 Mean dependent var-0.003523