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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

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