Econometrics of Mutual Funds
Econometrics II
Homework assignment 3
Ultimate due date: Tuesday, April 23 at 18:55
Part 1: Mutual Funds
1. Posted to my.nes.ru are monthly returns for 9 mutual funds. Accidentally, I have forgotten to match the fund names to the correct return data for 7 of these 9 mutual funds. Please run regressions of each of the 9 funds on the Fama-French three-factor model and make an educated guess regarding which fund goes with which data. Explain the reasoning behind your guess.
In the list “HW_FundsAndReturns.csv” of the Excel book “HW3_FundsAndReturns” were used additional columns to the right from last occupied column “X”. In columns “Y:AB” for the parameters α; β3; βs; βv corresponding to the model
Mretf=α1+Rf+β3Rm-Rf+βsSMB+βvHML+ε
Columns “AC” and “AD” were used for presentation of error and error squared.
After this for each fund (time series of 60 values taken monthly from 31/01/2006 to 31/12/2010). In this case intrinsic function of Excel for the regression was used (despite usage of built in functions with formula like ИНДЕКС(ЛИНЕЙН(ExchangeRates!B4:B170;'Oil Prices'!B4:B170;ИСТИНА;ИСТИНА);3;1)) is also clear, but probably not very comfortable for limited amount of funds =9). After that for each fund two plots, like on figure 1 and figure 2 were drawn. Figure 1
Figure 2
Also estimations of model parameters, dispersion, R2 values etc. were calculated for each fund individually. After all the whole set of results was collected in the list “Summary” of the same book. Part of the results (respecting to question 1) are presented in the table 1.
# | Fund label | β | β small | <rp> | σ | σ/<rp> | TI | SI | SI/50 | R2 | 1 | 8292 | 0,9728 | 0,1911 | 2,45 E-03 | 5,62E-02 | 22,95 | 6,30E-04 | 1,09E-02 | 2,18E-04 | 0,9863 | 2 | A | 0,9636 | 0,8230 | 3,53E-03 | 7,47E-02 | 21,19 | 1,74E-03 | 2,26E-02 | 4,52E-04 | 0,8302 | 3 | B | 0,0661 | -0,1050 | 2,01E-03 | 9,13E-03 | 4,53 | 1,83E-04 | 1,95E-02 | 3,89E-04 | 0,0181 | 4 | C | 0,9410
Homework assignment 3
Ultimate due date: Tuesday, April 23 at 18:55
Part 1: Mutual Funds
1. Posted to my.nes.ru are monthly returns for 9 mutual funds. Accidentally, I have forgotten to match the fund names to the correct return data for 7 of these 9 mutual funds. Please run regressions of each of the 9 funds on the Fama-French three-factor model and make an educated guess regarding which fund goes with which data. Explain the reasoning behind your guess.
In the list “HW_FundsAndReturns.csv” of the Excel book “HW3_FundsAndReturns” were used additional columns to the right from last occupied column “X”. In columns “Y:AB” for the parameters α; β3; βs; βv corresponding to the model
Mretf=α1+Rf+β3Rm-Rf+βsSMB+βvHML+ε
Columns “AC” and “AD” were used for presentation of error and error squared.
After this for each fund (time series of 60 values taken monthly from 31/01/2006 to 31/12/2010). In this case intrinsic function of Excel for the regression was used (despite usage of built in functions with formula like ИНДЕКС(ЛИНЕЙН(ExchangeRates!B4:B170;'Oil Prices'!B4:B170;ИСТИНА;ИСТИНА);3;1)) is also clear, but probably not very comfortable for limited amount of funds =9). After that for each fund two plots, like on figure 1 and figure 2 were drawn. Figure 1
Figure 2
Also estimations of model parameters, dispersion, R2 values etc. were calculated for each fund individually. After all the whole set of results was collected in the list “Summary” of the same book. Part of the results (respecting to question 1) are presented in the table 1.
# | Fund label | β | β small | <rp> | σ | σ/<rp> | TI | SI | SI/50 | R2 | 1 | 8292 | 0,9728 | 0,1911 | 2,45 E-03 | 5,62E-02 | 22,95 | 6,30E-04 | 1,09E-02 | 2,18E-04 | 0,9863 | 2 | A | 0,9636 | 0,8230 | 3,53E-03 | 7,47E-02 | 21,19 | 1,74E-03 | 2,26E-02 | 4,52E-04 | 0,8302 | 3 | B | 0,0661 | -0,1050 | 2,01E-03 | 9,13E-03 | 4,53 | 1,83E-04 | 1,95E-02 | 3,89E-04 | 0,0181 | 4 | C | 0,9410