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Question **I did all rthe calcualtions but I’m unsure about the two multiple choice follow up questions, can someone help? (Q’s at the end!) Thank you, I’m in a crunch!** (Estimate a CAPM regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018.) What is Fund 1’s alpha in the CAPM? Alpha is -0.49 What is Fund 1’s beta in the CAPM? Beta is 1.63 What is the R-squared of the CAPM regression for Fund 1? R2 is 0.51 (Estimate a 3-Factor Model regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018.) What is Fund 1’s alpha in the 3-Factor Model? Alpha in 3 factor model is -0.72. What is the beta on the market factor for Fund 1 in the 3-Factor Model? Beta for market factor in 3 factor model is 1.29 What is the beta on the size factor in the 3-Factor Model? Beta for size factor in 3 factor model is 1.44 What is the beta on the value factor in the 3-Factor Model? Beta for value factor in 3 factor model is 0.42 What is the R-squared of the 3-Factor Model regression for Fund 1? R2 for 3 factor model is 0.66 QUESTIONS 1-2 1) Over the period from July 1926 to October 2018, how has Fund 1 performed relative to its CAPM benchmark? When answering this question, just focus on the point estimate of the alpha and do not worry about its statistical significance. a) Outperformed its benchmark b) Underperformed its benchmark 2) Over the period from July 1926 to October 2018, how has Fund 1 performed relative to its 3-Factor Model benchmark? When answering this question, just focus on the point estimate of the alpha and do not worry about its statistical significance. a) Outperformed its benchmark b) Underperformed its benchmark

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Question

**I did all rthe calcualtions but I’m unsure about the two multiple choice follow up questions, can someone help?

(Q’s at the end!) Thank you, I’m in a crunch!**

(Estimate a CAPM regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018.)

What is Fund 1’s alpha in the CAPM?

Alpha is -0.49

What is Fund 1’s beta in the CAPM?

Beta is 1.63

What is the R-squared of the CAPM regression for Fund 1? 

R2 is 0.51

(Estimate a 3-Factor Model regression for Fund 1 using monthly data over the 1108 months from July 1926 to October 2018.)

What is Fund 1’s alpha in the 3-Factor Model?

Alpha in 3 factor model is -0.72.

What is the beta on the market factor for Fund 1 in the 3-Factor Model?

Beta for market factor in 3 factor model is 1.29

What is the beta on the size factor in the 3-Factor Model?

Beta for size factor in 3 factor model is 1.44

What is the beta on the value factor in the 3-Factor Model?

Beta for value factor in 3 factor model is 0.42

What is the R-squared of the 3-Factor Model regression for Fund 1?

R2 for 3 factor model is 0.66

QUESTIONS 1-2

1)   Over the period from July 1926 to October 2018, how has Fund 1 performed relative to its CAPM benchmark? When answering this question, just focus on the point estimate of the alpha and do not worry about its statistical significance.

a) Outperformed its benchmark

b) Underperformed its benchmark

2)   Over the period from July 1926 to October 2018, how has Fund 1 performed relative to its 3-Factor Model benchmark? When answering this question, just focus on the point estimate of the alpha and do not worry about its statistical significance.

a) Outperformed its benchmark

b) Underperformed its benchmark

 
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