For Q$1-$Q$5,$ use the data in the Excel file in the tab called $$CPHF$$

What is the hedge fund$$s univariate market beta using, respectively, $1-$month excess returns $($beta$1$M$)$ and rolling $($overlapping$)3-$month excess returns, computed by summing monthly excess returns $($beta$3$M$)$ for CPHF $($before fees$)$ and Mkt$-$RF:

Question $3$ Answer

a$.$

beta$1$M $=0\mathrm{.}32$ and beta$3$M$=0\mathrm{.}49,$ the latter is larger implies potential liquid investments

b$.$

beta$1$M $=0\mathrm{.}32$ and beta$3$M$=0\mathrm{.}49,$ the latter is larger implies potential illiquid investments

c$.$

beta$1$M $=0\mathrm{.}32$ and beta$3$M$=0\mathrm{.}42,$ the latter is larger implies potential illiquid investments

d$.$

beta$1$M $=0\mathrm{.}39$ and beta$3$M$=0\mathrm{.}42,$ the latter is larger implies potential illiquid investments

e$.$

beta$1$M $=0\mathrm{.}32$ and beta$3$M$=0\mathrm{.}42,$ the latter is larger implies potential liquid investments

f$.$

beta$1$M $=0\mathrm{.}39$ and beta$3$M$=0\mathrm{.}42,$ the latter is larger implies potential liquid investments