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Use the basic table below and excel: Date Fund risk premium (numbers below are returns in %) Market risk premium (numbers below are returns in
- Use the basic table below and excel:
Date | Fund risk premium (numbers below are returns in %) | Market risk premium (numbers below are returns in %) |
1 | 5.34 | 6.31 |
2 | 4.63 | 2 |
3 | -4.87 | -7.89 |
4 | -5.53 | -5.56 |
5 | 5.95 | 6.93 |
6 | -5.2 | -4.77 |
7 | 9.39 | 9.54 |
8 | 2.61 | 3.88 |
9 | 3.4 | 0.6 |
10 | 5.36 | 6.82 |
- What is the alpha and beta using the ten month data above
- Explain what alpha and beta is
- Is the fund manager outperforming or underperforming the chosen index?
- The beta tells you the fund manager has a risky strategy or conservative strategy?
- Talk about the issue of using market risk premium for this analysis, why small cap index like Russell 2000 might be more appropriate?
- What are other issues with our analysis above? Could our results could be biased or wrong? explain
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