In this problem you are going to work with some real-world data. File mfunds_data.xlsx contains historical...
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In this problem you are going to work with some real-world data. File mfunds_data.xlsx contains historical returns of three mutual funds Ticker Fund name DFUSX DFA U.S. Large Company Portfolio LADYX Lord Abbett Developing Growth Fund VSGIX Vanguard Small-Cap Growth Index Fund Investment style Large-Cap Small-Cap Growth Small-Cap Growth from Morningstar Direct. For your convenience, I included data on the Fama-French research factors in the same file. a. [1pt] Calculate average returns for the funds we are interested in. b. [3pts] Estimate the CAPM for the funds: ri r = i + Bi (1mkt r) + i Note: don't forget to use excess returns (not returns) on the left-hand side of your regression! Report the CAPM alphas, their t-stats, and the CAPM betas. Note: you don't need to report all the output you got from the Analysis ToolPack or your favorite statistical software. c. [1pt] Which fund had the highest CAPM alpha? Is this alpha statistically significantly different from zero? In this problem you are going to work with some real-world data. File mfunds_data.xlsx contains historical returns of three mutual funds Ticker Fund name DFUSX DFA U.S. Large Company Portfolio LADYX Lord Abbett Developing Growth Fund VSGIX Vanguard Small-Cap Growth Index Fund Investment style Large-Cap Small-Cap Growth Small-Cap Growth from Morningstar Direct. For your convenience, I included data on the Fama-French research factors in the same file. a. [1pt] Calculate average returns for the funds we are interested in. b. [3pts] Estimate the CAPM for the funds: ri r = i + Bi (1mkt r) + i Note: don't forget to use excess returns (not returns) on the left-hand side of your regression! Report the CAPM alphas, their t-stats, and the CAPM betas. Note: you don't need to report all the output you got from the Analysis ToolPack or your favorite statistical software. c. [1pt] Which fund had the highest CAPM alpha? Is this alpha statistically significantly different from zero?
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Answer rating: 100% (QA)
a To calculate the average returns for the funds of interest we need to calculate the mean of their returns Lets assume that the returns data for the ... View the full answer
Related Book For
Managerial Accounting
ISBN: 978-0697789938
13th Edition
Authors: Ray H. Garrison, Eric W. Noreen, Peter C. Brewer
Posted Date:
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