The following table shows the Fama-French three-factor regression for an investment fund: Portfolio Regression Results Time...

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The following table shows the Fama-French three-factor regression for an investment fund: Portfolio Regression Results Time Period Regression Basis Coefficient of Determination (R²) Adjusted R² Regression F statistic Autocorrelation Heteroscedasticity Factor Market (Rm-Rf) Size (SMB) Value (HML) Alpha (a) Annualized Alpha (a) Feb 2004 Jul 2022 222 monthly samples 97.5% 97.4% 2,786.24 (p-value = 0.000) No autocorrelation confirmed (Durbin-Watson test value is 2.070 v No heteroscedasticity confirmed (Breusch-Pagan test value is 3.0! Standard Error Loading 1.07 0.012 What kind of stocks does the fund invest in? -0.08 -0.30 1.44bps 0.17% The fund has invested in small stocks and value stocks. The fund has invested in small stocks and growth stocks. The fund has invested in large stocks and value stocks. The fund has invested in large stocks and growth stocks. 0.022 0.016 0.001 The following table shows the Fama-French three-factor regression for an investment fund: Portfolio Regression Results Time Period Regression Basis Coefficient of Determination (R²) Adjusted R² Regression F statistic Autocorrelation Heteroscedasticity Factor Market (Rm-Rf) Size (SMB) Value (HML) Alpha (a) Annualized Alpha (a) Feb 2004 Jul 2022 222 monthly samples 97.5% 97.4% 2,786.24 (p-value = 0.000) No autocorrelation confirmed (Durbin-Watson test value is 2.070 v No heteroscedasticity confirmed (Breusch-Pagan test value is 3.0! Standard Error Loading 1.07 0.012 What kind of stocks does the fund invest in? -0.08 -0.30 1.44bps 0.17% The fund has invested in small stocks and value stocks. The fund has invested in small stocks and growth stocks. The fund has invested in large stocks and value stocks. The fund has invested in large stocks and growth stocks. 0.022 0.016 0.001

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