Question: Use the uploaded price data to answer the questions that follow. Assume that the S&P 500 is the proxy for the market portfolio. Please carefully

Use the uploaded price data to answer the questions that follow. Assume that the S&P 500 is the proxy for the market portfolio. Please carefully label your answers.

  • A: Price data for a Fidelity fund (ticker symbol FAGAX) and S&P 500 is given in the Excel Upload file. Each month calculate the excess returns for both FAGAX and the S&P 500.
  • B: Using the excess returns, estimate the funds alpha and beta (assume that the CAPM is the appropriate benchmark model). What is the 95% confidence interval for alpha?
  • C: Does FAGAX significantly outperform, significantly underperform, or perform as expected (again using CAPM as the benchmark model)? Why?
  • FAGAX S&P 500 Risk-free rate
    Month Price Price
    1 17.630268 1115.09998 0.01%
    2 16.734739 1073.87 0.00%
    3 17.453682 1104.48999 0.00%
    4 19.039213 1169.43005 0.00%
    5 19.475718 1186.68994 0.00%
    6 17.915863 1089.41003 0.00%
    7 16.753998 1030.70996 0.00%
    8 17.877348 1101.59998 0.00%
    9 17.107048 1049.32996 0.00%
    10 19.186857 1141.19995 0.00%
    11 20.233179 1183.26001 0.00%
    12 20.733871 1180.55005 0.00%
    13 21.914997 1257.64002 0.00%
    14 22.332243 1286.12 0.00%
    15 23.224504 1327.21997 0.00%
    16 23.744457 1325.82996 0.00%
    17 24.733007 1363.60999 0.00%
    18 24.534016 1345.19995 0.00%
    19 24.123186 1320.64002 0.00%
    20 23.782972 1292.28003 0.00%
    21 22.210276 1218.89002 0.00%
    22 20.714615 1131.42004 0.00%
    23 23.243761 1253.30005 0.00%
    24 22.71739 1246.95996 0.00%
    25 22.332243 1257.59998 0.00%
    26 24.379955 1312.41003 0.00%
    27 26.016834 1365.68005 0.00%
    28 27.114517 1408.46997 0.00%
    29 26.600977 1397.91003 0.00%
    30 24.591785 1310.32996 0.00%
    please show formulas

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