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 $4(30$ marks$)$

You are an analyst of WealthPi Investment Corporation. You are testing a hypothesis about

whether Fama$-$French three$-$factor 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 $(10$ marks$)$

explain the three independent variables.

$($b$)$ Based on the above results, calculate t$-$stats for each independent factor. $(10$ marks$)$

Determine and explain which factors are significant in explaining the

returns of WealthPi.

$($c$)$ Determine the $R^2$ based on the regression results. Critically comment on $(10$ marks$)$

how $R^2$ measures the goodness of fit.

$[$END OF SECTION B$]$