Question
Using the data below, report the following: A. Estimate a one factor, or CAPM, regression analysis of the following form: R i - R f
Using the data below, report the following:
A. Estimate a one factor, or CAPM, regression analysis of the following form:
Ri - Rf = i + i(RM - Rf)
Or, using the labels provided with the dataset
Rfund-rf = i + i(mktrf)
B. Estimate a three factor, or Fama-French, regression analysis of the following form:
Ri - Rf = i + i(RM - Rf) + siSMB + hiHML
Or, using the labels provided with the dataset
Rfund-rf = i + i(mktrf) + si(smb) + hi(hml)
C. Estimate a four factor regression analysis of the following form:
Ri - Rf = i + i(RM - Rf) + siSMB + hiHML + uiUMD
Or, using the labels provided with the dataset
Rfund-rf = i + i(mktrf) + si(smb) + hi(hml) + ui(umd)
Provide the Excel output for each regression analysis.
Discuss the results as they relate to exposures to the risk factors in each model. Is there evidence that this fund had particularly noteworthy performance during the 36-month period analyzed?
dateff | mktrf | smb | hml | umd | rf | Rfund | Rfund-rf |
20100930 | 0.0954 | 0.0384 | -0.0302 | 0.0135 | 0.0001 | 0.139007 | 0.138907 |
20101029 | 0.0388 | 0.0104 | -0.023 | 0.0158 | 0.0001 | 0.013699 | 0.013599 |
20101130 | 0.006 | 0.0366 | -0.0054 | 0.0251 | 0.0001 | 0.03317 | 0.03307 |
20101231 | 0.0682 | 0.0078 | 0.0358 | -0.0321 | 0.0001 | 0.095125 | 0.095025 |
20110131 | 0.0201 | -0.0246 | 0.0086 | -0.003 | 0.0001 | 0 | -0.0001 |
20110228 | 0.0349 | 0.0163 | 0.0167 | 0.0205 | 0.0001 | 0.051031 | 0.050931 |
20110331 | 0.0048 | 0.0262 | -0.0122 | 0.0359 | 0.0001 | 0.057851 | 0.057751 |
20110429 | 0.029 | -0.0032 | -0.0225 | 0.0008 | 0 | 0.035156 | 0.035156 |
20110531 | -0.0127 | -0.0065 | -0.0221 | -0.0058 | 0 | -0.01509 | -0.01509 |
20110630 | -0.0175 | -0.0008 | -0.0042 | 0.0176 | 0 | 0 | 0 |
20110729 | -0.0234 | -0.014 | -0.012 | 0.0014 | 0 | -0.01628 | -0.01628 |
20110831 | -0.06 | -0.033 | -0.0156 | -0.0035 | 0.0001 | -0.08861 | -0.08871 |
20110930 | -0.076 | -0.0368 | -0.0106 | -0.0252 | 0 | -0.1047 | -0.1047 |
20111031 | 0.1134 | 0.0358 | -0.009 | -0.0145 | 0 | 0.122912 | 0.122912 |
20111130 | -0.0026 | -0.0026 | -0.0017 | 0.04 | 0 | 0.012752 | 0.012752 |
20111230 | 0.0074 | -0.0057 | 0.0153 | 0.0189 | 0 | 0.045121 | 0.045121 |
20120131 | 0.0506 | 0.0252 | -0.0213 | -0.0795 | 0 | 0.048193 | 0.048193 |
20120229 | 0.0443 | -0.0165 | 0.0004 | -0.0028 | 0 | 0.055556 | 0.055556 |
20120330 | 0.0311 | -0.0023 | -0.0007 | 0.0146 | 0 | 0.062613 | 0.062613 |
20120430 | -0.0084 | -0.0061 | -0.002 | 0.0384 | 0 | 0.005978 | 0.005978 |
20120531 | -0.062 | -0.001 | 0.001 | 0.0661 | 0.0001 | -0.06876 | -0.06886 |
20120629 | 0.0388 | 0.0082 | 0.0046 | -0.0114 | 0 | 0.048314 | 0.048314 |
20120731 | 0.0079 | -0.0259 | 0.0002 | 0.0306 | 0 | -0.00435 | -0.00435 |
20120831 | 0.0256 | 0.0072 | 0.0059 | -0.0251 | 0.0001 | 0.052402 | 0.052302 |
20120928 | 0.0274 | 0.0049 | 0.0157 | -0.0102 | 0.0001 | 0.048133 | 0.048033 |
20121031 | -0.0175 | -0.0107 | 0.0417 | 0.0012 | 0.0001 | -0.03167 | -0.03177 |
20121130 | 0.0077 | 0.0067 | -0.011 | 0.0037 | 0.0001 | -0.0139 | -0.014 |
20121231 | 0.0118 | 0.0166 | 0.0328 | -0.0292 | 0.0001 | 0.026534 | 0.026434 |
20130131 | 0.0558 | 0.0049 | 0.0135 | -0.0187 | 0 | 0.053312 | 0.053312 |
20130228 | 0.0128 | -0.0038 | 0.0031 | 0.0147 | 0 | 0.017638 | 0.017638 |
20130328 | 0.0403 | 0.0084 | -0.0006 | 0.0208 | 0 | 0.044461 | 0.044461 |
20130430 | 0.0156 | -0.0243 | 0.0036 | 0.0034 | 0 | -0.00722 | -0.00722 |
20130531 | 0.0281 | 0.0193 | 0.0131 | -0.0189 | 0 | 0.079942 | 0.079942 |
20130628 | -0.0121 | 0.0123 | -0.0045 | 0.0065 | 0 | 0.039704 | 0.039704 |
20130731 | 0.0565 | 0.0185 | 0.0079 | 0.0169 | 0 | 0.068608 | 0.068608 |
20130830 | -0.0269 | 0.0028 | -0.0246 | 0.0001 | 0 | 0.013325 | 0.013325 |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started