Question 1 175/ Consider the exhibit below (Exhibit 1) Exhibit 1 Monthly excess returns Market risk Period Portfolio BTF Portfolio ETA premium SMD HIML 1.085E 0.01% -1.01% -1.6715 7.58% 6.6215 6.89% 0.29%% -1.2305 5.036 6.014 4.75% -1.45% 1.92% 1.16% 0.3615 0.66%% 0.41% 0.22% WOWRWNH -1.9815 -1.58% 2.9575 -3.62% 4.29% 4.26% 2.3919 2.86% -3.40% -1.545 0.7575 -2.47 -2.7295 -4.51%% -1.7975 -15.49% -15.46% -16.11% -5.92% 5.69% 9 6.0556 4.0615 5.95% -3.7615 10 7.70% 6.7515 7.11% -3.36% -2.8515 11 7.76% 5.5219 5.86%% 1.36% -3.6875 12 9.62% 4.8975 5.94% 0.31% -4.9515 13 5.25% 2.73%% 3.47% 1.15% -6.1615 14 -3.1975 -0.55% -4.1515 -5.59% 1.66%% 15 5.40% 2.5975 3.32% -3.82% -3.04% 16 2.395% 7.2615 4.47% 2 89% 2.80%6 17 2.87% 0.1015 -2.3975 3.46% 3.08% 18 6.52% 3.6615 4.72% 19 -3.37% -0.60% -3.4545 2.01% 0.70%% 20 -1.2415 -4.06% -1.3515 -1.16 -1.2615 21 -1.4875 0.1575 -2.6875 3.23% -3.1875 22 6.01% 5.2975 5.80%% -6.53% -3.1915 23 2.05% 2.2805 3.20%% 7.71% -8.0915 24 7.20% 7.0975 7.83% 6.98% -9.0515 -4.8145 -2.79% -4.4395 4 08% -0.1675 26 -2.04% 2.55% 21.49% -12 03% 27 9.0556 5.2505 5.13% -16.6915 7.81% 28 -4.3145 -2.96% -6.2475 -7.53% 8.59% 29 -3.361 -0.63% -4.2715 -5.86% 5.08% 30 3.86% 1.8015 4.67% 13.316 -8.7815 Required Which model (CAPM or Fame French 3 factor model) best explains the excess return for each of the portfolios BTF and ETA? Your excel calculations must be accompanied by sound amalysis. 1757