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to measure the performance of the mutual fund equity protfolio determine and explain the treynor measure, sharpe measure and jensen's alpha measure of the portfolio
to measure the performance of the mutual fund equity protfolio determine and explain the treynor measure, sharpe measure and jensen's alpha measure of the portfolio
Question marks
You are an analyst of WealthPi Investment Corporation. You are testing a hypothesis about
whether FamaFrench threefactor model can explain the return of a portfolio. You run an
ordinary least squares regression of the monthly returns of WeathPi, RwealthPi, on the monthly
returns of the market, size and value factor and obtain the following regression results:
a Based on the regression results, determine the regression equation and marks
explain the three independent variables.
b Based on the above results, calculate tstats for each independent factor. marks
Determine and explain which factors are significant in explaining the
returns of WealthPi.
c Determine the based on the regression results. Critically comment on marks
how measures the goodness of fit.
END OF SECTION B
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