You don't have to answer them all, I know it is a lot. If you can answer as many as you can, that would be great.

For two portfolios that belong to two fund managers (A and B), we run two 4-factor model regressions. The four factors include MKTRF (market factor), SMB (sizefactor), HML (value factor) and UMD (momentum factor). Data frequency is monthly.The regression outputs are shown below.

a. Use the regression outputs to complete the following table. (Hint: Indicate the p-value associated with each coefficient in paranthesis below the coefficient.)

FUND	A	B
Intercept
rm rf
SMB
HML
UMD
R2

b. Which of the coefficients reflect on managers performance? Which manager was a better selector of stocks?

c. Comment on the style of each manager with regards to risk, size, value and momentum investing.

d. Which managers portfolio is more diversified? Why?

SUMMARY OUTPUT ression Statistics Multiple R R Square Adjusted R Square Standard Error 0.56 0.31 0.30 5.24 325 ANOVA cance F 0.00 3930.63 982.66 35.7 8792.10 27.48 320 324 Total 12722.73 cients 0.63 0.78 0,47 0.39 0.01 Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% 0.04 0.64 0.66 0.18 0.12 95.0% 0.30 2.11 0.04 0.00 0.00 0.00 0.92 0.04 0.64 0.66 0.18 0.12 0.91 0.28 0.60 0.13 0.07 10.98 0.10 -4.90 0.91 0.28 0.60 0.13 SMB 0.06 0.11 Figure 1: Regression output for Fund A SUMMARY OUTPUT ression Statistics Multiple R R Square Adjusted R Square Standard Error 0.56 0.31 0.30 5.24 325 ANOVA cance F 0.00 3930.63 982.66 35.7 8792.10 27.48 320 324 Total 12722.73 cients 0.63 0.78 0,47 0.39 0.01 Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% 0.04 0.64 0.66 0.18 0.12 95.0% 0.30 2.11 0.04 0.00 0.00 0.00 0.92 0.04 0.64 0.66 0.18 0.12 0.91 0.28 0.60 0.13 0.07 10.98 0.10 -4.90 0.91 0.28 0.60 0.13 SMB 0.06 0.11 Figure 1: Regression output for Fund A