A mutual fund doesn't disclose its stock holdings but reports its monthly portfolio returns. Using the...

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A mutual fund doesn't disclose its stock holdings but reports its monthly portfolio returns. Using the monthly returns for this fund P, you estimated the standard Fama-French 3-factor model and got the following results: Rp,t = - * 0.8* RM, +0.6 * SMBt 0.3 HMLt + t, where RP,t is return of fund portfolio in excess of the risk-free rate, RM,t - excess market return, SMBt - return on the small-minus-large risk factor, HMLt - value-minus-growth risk factor. 1. Does this fund have superior investment skills? 2. What type of stocks does this fund likely invest in (i.e., what's this fund's investment style)? A mutual fund doesn't disclose its stock holdings but reports its monthly portfolio returns. Using the monthly returns for this fund P, you estimated the standard Fama-French 3-factor model and got the following results: Rp,t = - * 0.8* RM, +0.6 * SMBt 0.3 HMLt + t, where RP,t is return of fund portfolio in excess of the risk-free rate, RM,t - excess market return, SMBt - return on the small-minus-large risk factor, HMLt - value-minus-growth risk factor. 1. Does this fund have superior investment skills? 2. What type of stocks does this fund likely invest in (i.e., what's this fund's investment style)?

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To answer these questions lets analyze the results of the FamaFrench 3factor model estimation 1 Supe... View the full answer