Question
Using style analysis to evaluate the fund's investment characteristics, including invested in small/ large, value/ growth, quality/ junk ect. Discuss the regression results. Fama-French-Cahart four
Using style analysis to evaluate the fund's investment characteristics, including invested in small/ large, value/ growth, quality/ junk ect. Discuss the regression results.
Fama-French-Cahart four factors: MktRf, SMB, HML, MOM
QMJ: factor of Quality
BAB: factor of Low Beta Bia
u SUMMARY OUTPUT Regression Statistics Multiple R 0.785114007 R Square 0.616404004 Adjusted R Square 0.612942987 Standard Error 0.040015867 Observations 672 ANOVA df Regression Residual Total SS MS F gnificance F 6 1.711108 0.285185 178.0991 9.2E-135 665 1.064844 0.001601 671 2.775953 Intercept MktRf SMB HML Coefficients andard Erri t Stat P-value Lower 95%Upper 95%ower 95.09|pper 95.0% 0.000169338 0.001694 0.099968 0.9204 -0.00316 0.003495 -0.00316 0.003495 1.074170259 0.044161 24.32409 5.64E-94 0.987459 1.160882 0.987459 1.160882 0.264775123 0.060141 4.402579 1.25E-05 0.146686 0.382864 0.146686 0.382864 -0.0201231 0.066944 -0.3006 0.763817 -0.15157 0.111324 -0.15157 0.111324 0.041885037 0.040258 1.040404 0.29853 -0.03716 0.120934 -0.03716 0.120934 -0.02930168 0.097892 -0.29933 0.764783 -0.22152 0.162912 -0.22152 0.162912 0.022546105 0.054231 0.415746 0.67773 -0.08394 0.12903 -0.08394 0.12903 MOM QMJ BAB u SUMMARY OUTPUT Regression Statistics Multiple R 0.785114007 R Square 0.616404004 Adjusted R Square 0.612942987 Standard Error 0.040015867 Observations 672 ANOVA df Regression Residual Total SS MS F gnificance F 6 1.711108 0.285185 178.0991 9.2E-135 665 1.064844 0.001601 671 2.775953 Intercept MktRf SMB HML Coefficients andard Erri t Stat P-value Lower 95%Upper 95%ower 95.09|pper 95.0% 0.000169338 0.001694 0.099968 0.9204 -0.00316 0.003495 -0.00316 0.003495 1.074170259 0.044161 24.32409 5.64E-94 0.987459 1.160882 0.987459 1.160882 0.264775123 0.060141 4.402579 1.25E-05 0.146686 0.382864 0.146686 0.382864 -0.0201231 0.066944 -0.3006 0.763817 -0.15157 0.111324 -0.15157 0.111324 0.041885037 0.040258 1.040404 0.29853 -0.03716 0.120934 -0.03716 0.120934 -0.02930168 0.097892 -0.29933 0.764783 -0.22152 0.162912 -0.22152 0.162912 0.022546105 0.054231 0.415746 0.67773 -0.08394 0.12903 -0.08394 0.12903 MOM QMJ BABStep by Step Solution
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Auditing And Assurance Services A Systematic Approach
Authors: William F. Messier, Steven M. Glover, Douglas F. Prawitt
4th Edition
0071117474, 9780071117470
