You are assessing the average performance of two mutual fund managers with the Fama-French 3-factor model....

 

 

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You are assessing the average performance of two mutual fund managers with the Fama-French 3-factor model. The fund managers and the Fama-French factors had the following performance over this period of time: Manager 1 Manager 2 rm -rf smb hml Avg. (total) Ret 27% 13% 8% 2% 6% Bmkt S 2 1 1 0 0 1 -0.5 0 1 0 h 1 0.5 0 0 1 The risk-free rate is 2%. What is the average (total not excess) return on the benchmark implied by the three-factor model (defined in 5.1.5) for each manager? You are assessing the average performance of two mutual fund managers with the Fama-French 3-factor model. The fund managers and the Fama-French factors had the following performance over this period of time: Manager 1 Manager 2 rm -rf smb hml Avg. (total) Ret 27% 13% 8% 2% 6% Bmkt S 2 1 1 0 0 1 -0.5 0 1 0 h 1 0.5 0 0 1 The risk-free rate is 2%. What is the average (total not excess) return on the benchmark implied by the three-factor model (defined in 5.1.5) for each manager?

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To calculate the average total return on the benchmark implied by the threefactor model ... View the full answer