1. what is Blend stock Investing?
2. What does size represents in the style matrix?
3. Down load historical data for 5 years ( from now) for ESGV and DSI
4. What is ESG investing? Comment on its relevance in a few lines!!!
5. Down load Fama French data Fama/French 3 Factors. Make sure you pick up relevant data for rf matching year and month to your ESGV and DSI data horizon . *** DSI is your market index so x variable is (retDSI-rf)
6. Calculate returns for HSBC and FTSE . Now calculate tracking error and annualize it. Do you classify HSBC investment style as : Passive , Strategic and Active .( refer notes)
7. Calculate Excess returns and run regression with DSI as Independent variable .
8. Does HSBS created a positive Alpha? [ Jenson alpha}
9. Now Run regression using Fama French 3 factor model (RetESGV-rf=intercept+beta1(retESGV-rf)+beta2HML+Beta3SML) What happens to the value of alpha? Interpret this equation
10. Now Run regression using Carhart 4 factor model (RetESGV-rf=intercept+beta1(retESGV-rf)+beta2HML+Beta3SML+beta4 MOM)
11. What happens to the value of alpha? Interpret this equation