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Provide and analyze the regression results terms of the fund

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Reference no: EM131419231

Attached details of 3 Funds ( Fund-A , Fund-B and Fund-C ) ,you will analyze your sample of 3 socially responsible mutual funds using the performance evaluation methodologies ,This includes the calculation of alpha, beta, and other coefficients derived by estimating:

  • the 1- factor model (CAPM, or Jensen's alpha), Ri- Rf= ai+ ßi(RM- Rf)
  • the 3-factor model (Fama-French alpha), Ri- Rf= ai+ ßi(RM- Rf) + siSMB + hiHML
  • and the 4-factor model (FF plus Carhart), Ri- Rf= ai+ ßi(RM- Rf) + siSMB + hiHML + uiUMD

1- run 3 regressions"1-factor model, 3-factor model and 4-factor model"for the set of equal weighted average monthly returns for your entire sample)

2- run 3 regressions"1-factor model, 3-factor model and 4-factor model" for the set of value weighted average monthly returns for your entire sample)

Provide and analyze the regression results terms of the funds' performance "returns";does these funds generate returns that are distinctly superior or inferior on a risk-adjusted basis?

Attachment:- FUNDS-EXAMPLE.rar

Reference no: EM131419231

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