Using Net Asset Value (NAV) and other relevant data, you investigate the performance of three fund managers: M, P, and S.

You utilize the Fama-French 3 Factor model for all fund managers:

r_pt-r_ft = _p + _1pMRP_t + _2pSMB_t + _3pHML_t + _pt

Where

r_pt = portfolio return at month-t

MRP = r_mt-r_ft

SMB = Small minus Big

HML = High minus Low

r_ft = riskless return at month-t

r_mt = market return at month-t

_pt = regression residuals which are expected to be white noise

The regression results are presented in Table 1.

Tabel 1. Regression results of M, P, and S Funds based on Fama-French Three Factor Model Funds (all necessary auto regressive terms are already applied but not reported). Note: MRP = r_mt-r_ft; SMB=Small minus Big; HML=High minus Low

	M Coefficient (Standard Error)	P Coefficient (Standard Error)	S Coefficient (Standard Error)
Intercept	-0.0005 (0.0011)	0.0069 (0.0034)	0.0016 (0.0013)
MRP	1.0286 (0.0198)	0.8572 (0.0502)	1.0104 (0.0234)
SMB	0.0888 (0.0382)	-0.2345 (0.1058)	0.0725 (0.0449)
HML	-0.0063 (0.0259)	0.2195 (0.0658)	0.0065 (0.0306)
Standard Error of Regression	0.0109	0.0254	0.0128
Adjusted-R2	0.9750	0.8783	0.9650

Which fund(s) generate significant abnormal return (more than the expected return based on FF3F Model)? Hint: you must calculate the t-statistics.	Answer
Which fund performs the worst?	Answer
What is the information ratio of Fund S?