Fundamental of portfolio management
FNCE90051
Fundamentals of Portfolio Management
Assignment
Part B
The assessments of these portfolios combine portfolio evaluation, market efficiency, and whether or not CAPM and Fama-French Model are adequate.
According to CAPM, the portfolios of companies with very small market capitalizations and very high book-to-market ratios have essentially doing well, since the coefficient of is 0.5 that means the average monthly return 0.5% above the return it should have been given the excess returns on the market portfolio. And have t-stat 3.30, so this fund manager has outperformed what the fund manager should have done in CAPM that is considerable affect. Overall this fund manager does a good job and should be rewarded. measures the proportion of one variable can be explained by another, in this case it measures to what extent the returns on these portfolios of very small market capitalizations and very high book-to-market ratios can be explained by market wide returns. And theis 60% seems good in CAPM.
In Fama-French 3 factors model, what would the monthly excess returns on these portfolios not just compare to excess returns on the market portfolio, but also with monthly returns on the small portfolios minus big portfolios (SMB), and high book-to-market ratios minus low book-to-market ratios (HML).The coefficient of is 0.09(previous is 0.5) means the average monthly return 0.09% above those 3 factors, suggesting these portfolios perform well. But the t-stat of is 1.60 suggests that the monthly excess returns of these portfolios with very small market capitalizations and very high book-to-market ratios are not significant, even though is slightly positive., and thechanges from 1.16 to 1. Look at the t-stat of those 3 factors are massive (69.64, 52.73, 35.01 respectively), suggesting in explaining the returns on these portfolios all 3 factors are really matter. measures to what extent the returns on these portfolios can be explained by
Fundamentals of Portfolio Management
Assignment
Part B
The assessments of these portfolios combine portfolio evaluation, market efficiency, and whether or not CAPM and Fama-French Model are adequate.
According to CAPM, the portfolios of companies with very small market capitalizations and very high book-to-market ratios have essentially doing well, since the coefficient of is 0.5 that means the average monthly return 0.5% above the return it should have been given the excess returns on the market portfolio. And have t-stat 3.30, so this fund manager has outperformed what the fund manager should have done in CAPM that is considerable affect. Overall this fund manager does a good job and should be rewarded. measures the proportion of one variable can be explained by another, in this case it measures to what extent the returns on these portfolios of very small market capitalizations and very high book-to-market ratios can be explained by market wide returns. And theis 60% seems good in CAPM.
In Fama-French 3 factors model, what would the monthly excess returns on these portfolios not just compare to excess returns on the market portfolio, but also with monthly returns on the small portfolios minus big portfolios (SMB), and high book-to-market ratios minus low book-to-market ratios (HML).The coefficient of is 0.09(previous is 0.5) means the average monthly return 0.09% above those 3 factors, suggesting these portfolios perform well. But the t-stat of is 1.60 suggests that the monthly excess returns of these portfolios with very small market capitalizations and very high book-to-market ratios are not significant, even though is slightly positive., and thechanges from 1.16 to 1. Look at the t-stat of those 3 factors are massive (69.64, 52.73, 35.01 respectively), suggesting in explaining the returns on these portfolios all 3 factors are really matter. measures to what extent the returns on these portfolios can be explained by