Question: Consider data on VUG and VTV returns in the attached Ps5.xls file. I already precalculated the excess returns, so no need to subtract Rf a)

Consider data on VUG and VTV returns in the attached Ps5.xls file. I already precalculated the excess returns, so no need to subtract Rf

a) Run fama French regressions for VUG and VTV. Report your estimation results in the Table below. Judging by HML loading which of those ETFs is GROWTH and which one is VALUE? VUG is GROWTH/VALUE VTV is GROWTH/VALUE b) Estimate Fama French regression for VTV-VUG. Report factor loading and pricing errors in the Table below VUG VTV VTV-VUG a b s h c) Lets use our findings for HML risk management. Assume you have a $100,000 position with zero HML loading. Assume you want to increase the HML factor loading by 1 what trading strategy you would use? Strategy______ d) Using the current prices of VTV and VUG from Yahoo finance to calculate the number of shares you need to short/long to implement your trading strategy. Total $ traded for VUG/VTV______ VUG Price_____ Nshares_____ SHORT/LONG VTV Price_____ Nshares_____ SHORT/LONG

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