Question: Use the below data table and solve including formulas used. The funds are: (a) iShares S&P 500 Value Index (IVE) Large Value (b) iShares S&P

Use the below data table and solve including formulas used. The funds are: (a) iShares S&P 500 Value Index (IVE) Large Value (b) iShares S&P Growth Index (IVW) Large Growth (c) iShares Russell 2000 Growth Index (IWO) Small Growth

Report the average excess returns, standard deviations, Sharpe ratios of each of the three funds

Run multivariate regressions of the excess returns of these mystery funds on the three Fama-French factors and report the estimates (with t-statistics).

Based on the results of the multivariate regressions, identify which fund is which.

Suppose that we believe that the Fama-French Three-Factor model properly captures risk. Do the results in (b) indicate that any of the fund managers have the ability to generate returns in excess of the risks that they are taking on?

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