In addition to analyzing the relationship between the managers’ characteristic and the performance of the fund, researchers wanted to determine whether the same characteristics are related to the behavior of the fund. In particular, they wanted to know whether the risk of the fund and its management expense ratio (MER) were related to the manager’s age, tenure, university SAT score, and whether he or she had an MBA.
In Section 4-6, we introduced the market model wherein we measure the systematic risk of stocks by the stock’s beta. The beta of a portfolio is the average of the betas of the stocks that make up the portfolio. File C17-02a stores the same managers’ characteristics as those in file C17-01.
However, the first column contains the betas of the mutual funds. To analyze the management expense ratios, it was decided to include a measure of the size of the fund. The logarithm of the funds’ assets (in $millions) was recorded with the MER. These data are stored in file C17-02b.
Analyze both sets of data and write a brief report of your findings.

  • CreatedFebruary 03, 2015
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