A spreadsheet containing 36 months of data (2016-2018) for the Fidelity Small Cap Discovery Fund and risk factors is provided here. Using the FSCRX data spreadsheet,

A. Estimate a one factor, or CAPM, regression analysis of the following form:

R_i - R_f = _i + _i(R_M - R_f)

Or, using the labels provided with the dataset

Rfund-rf = _i + _i(mktrf)

B. Estimate a three factor, or Fama-French, regression analysis of the following form:

R_i - R_f = _i + _i(R_M - R_f) + s_iSMB + h_iHML

Or, using the labels provided with the dataset

Rfund-rf = _i + _i(mktrf) + s_i(smb) + h_i(hml)

C. Estimate a four factor regression analysis of the following form:

R_i - R_f = _i + _i(R_M - R_f) + s_iSMB + h_iHML + u_iUMD

Or, using the labels provided with the dataset

Rfund

Provide the Excel output for each regression analysis.

Discuss the results as they relate to exposures to the risk factors in each model. Is there evidence that this fund had particularly noteworthy performance during the 36-month period analyzed?

dateff mktrf smb hml umd rf Rfund Rfund-rf 20160129 -0.0577 -0.0336 0.021 0.0137 0.0001 -0.063588 -0.063688 20160229 -0.0007 0.0078 -0.0048 -0.0409 0.0002 0.025465 0.025265 20160331 0.0696 0.0087 0.0112 -0.0514 0.0002 0.079227 0.079027 20160429 0.0092 0.0068 0.0326 -0.0623 0.0001 0.015705 0.015605 20160531 0.0178 -0.0026 -0.0181 0.0194 0.0001 0.011147 0.011047 20160630 -0.0005 0.0065 -0.0149 0.0421 0.0002 -0.019559 -0.019759 20160729 0.0395 0.0265 -0.0113 -0.0305 0.0002 0.044251 0.044051 20160831 0.005 0.0115 0.0331 -0.0309 0.0002 0.003473 0.003273 20160930 0.0025 0.0202 -0.0148 -0.0055 0.0002 0.002077 0.001877 20161031 -0.0202 -0.0437 0.0418 0.0065 0.0002 -0.043178 -0.043378 20161130 0.0486 0.0549 0.0827 -0.0422 0.0001 0.119856 0.119756 20161230 0.0182 0.0007 0.036 -0.0036 0.0003 0.024528 0.024228 20170131 0.0194 -0.0102 -0.0278 -0.0097 0.0004 0.005373 0.004973 20170228 0.0357 -0.02 -0.018 -0.0166 0.0004 0.001257 0.000857 20170331 0.0017 0.0119 -0.0318 -0.0092 0.0003 0.000628 0.000328 20170428 0.0109 0.0073 -0.019 0.0053 0.0005 0.005648 0.005148 20170531 0.0106 -0.0255 -0.0378 0.0147 0.0006 -0.017785 -0.018385 20170630 0.0078 0.0216 0.0132 -0.0025 0.0006 0.025836 0.025236 20170731 0.0187 -0.014 -0.0028 0.0163 0.0007 -0.002257 -0.002957 20170831 0.0016 -0.0169 -0.0224 0.0357 0.0009 -0.02391 -0.02481 20170929 0.0251 0.0454 0.0303 -0.012 0.0009 0.04237 0.04147 20171031 0.0225 -0.0194 -0.0006 0.043 0.0009 0.021912 0.021012 20171130 0.0312 -0.0066 -0.0005 -0.0075 0.0008 0.017402 0.016602 20171229 0.0106 -0.0126 0.0014 -0.016 0.0009 0.001762 0.000862 20180131 0.0558 -0.0303 -0.0137 0.0393 0.0011 0.018054 0.016954 20180228 -0.0365 0.0028 -0.0119 0.0398 0.0011 -0.027258 -0.028358 20180329 -0.0235 0.0393 -0.0011 -0.0126 0.0012 -0.004389 -0.005589 20180430 0.0029 0.011 0.0053 0.0027 0.0014 0.004069 0.002669 20180531 0.0265 0.0524 -0.0316 0.0376 0.0014 0.032421 0.031021 20180629 0.0048 0.0117 -0.0239 -0.0243 0.0014 -0.006454 -0.007854 20180731 0.0319 -0.0215 0.0039 -0.0161 0.0016 0.005313 0.003713 20180831 0.0344 0.0123 -0.0412 0.053 0.0016 0.020008 0.018408 20180928 0.0006 -0.0237 -0.0134 -0.0009 0.0015 -0.018505 -0.020005 20181031 -0.0768 -0.0468 0.0341 -0.0182 0.0019 -0.081071 -0.082971 20181130 0.0169 -0.0074 0.0019 -0.014 0.0018 0.017234 0.015434 20181231 -0.0955 -0.026 -0.0151 0.0173 0.0019 -0.097167 -0.099067