Now let's examine the capabilities of the Fama French model as applied to EHFI 251. Performing...

     

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Now let's examine the capabilities of the Fama French model as applied to EHFI 251. Performing that regression yields the following table: SUMMARY OUTPUT Regression Statistics Multiple R R Square 0.837767759 0.701854819 Adjusted R Square 0.694008893 Standard Error Observations ANOVA 0.783358869 118 MS F gnificance F 164.6819012 54.89397 89.45468 7.95E-30 69.95622737 0.613651 df SS Regression 3 Residual Total Intercept Mkt-RF SMB HML 114 117 234.6381285 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% ower 95.0%pper 95.0% 0.21578366 0.277257875 -0.009521093 -0.106571704 0.073194484 2.948086 0.003879 0.070786 0.360781 0.070786 0.360781 0.017850255 15.53243 6.57E-30 0.241897 0.312619 0.241897 0.312619 0.033891456 -0.28093 0.779274 -0.07666 0.057618 -0.07666 0.057618 0.027342468 -3.89766 0.000164 -0.16074 -0.05241 -0.16074 0.05241 a) What does the adjust R-squared in this regression imply? (2.5 pts) b) When comparing this to the previous regression what does that tell you? Why is one a better predictor than the other? (5 pts) c) Which of the Fama French Factors is statistically significant? Are the factors that are significant expected or are there any surprises in the magnitude or direction? (10 pts) d) What is the annualized alpha for EHFI 251? (2.5 pts) Now let's examine the capabilities of the Fama French model as applied to EHFI 251. Performing that regression yields the following table: SUMMARY OUTPUT Regression Statistics Multiple R R Square 0.837767759 0.701854819 Adjusted R Square 0.694008893 Standard Error Observations ANOVA 0.783358869 118 MS F gnificance F 164.6819012 54.89397 89.45468 7.95E-30 69.95622737 0.613651 df SS Regression 3 Residual Total Intercept Mkt-RF SMB HML 114 117 234.6381285 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% ower 95.0%pper 95.0% 0.21578366 0.277257875 -0.009521093 -0.106571704 0.073194484 2.948086 0.003879 0.070786 0.360781 0.070786 0.360781 0.017850255 15.53243 6.57E-30 0.241897 0.312619 0.241897 0.312619 0.033891456 -0.28093 0.779274 -0.07666 0.057618 -0.07666 0.057618 0.027342468 -3.89766 0.000164 -0.16074 -0.05241 -0.16074 0.05241 a) What does the adjust R-squared in this regression imply? (2.5 pts) b) When comparing this to the previous regression what does that tell you? Why is one a better predictor than the other? (5 pts) c) Which of the Fama French Factors is statistically significant? Are the factors that are significant expected or are there any surprises in the magnitude or direction? (10 pts) d) What is the annualized alpha for EHFI 251? (2.5 pts)