Finance Problem
A spreadsheet containing 36 months of data (2016-2018) for the Fidelity Small Cap Discovery Fund and risk factors is provided here. Using the FSCRX data spreadsheet,
A. Estimate a one factor, or CAPM, regression analysis of the following form:
Ri- Rf = αi + βi(RM- Rf)
Or, using the labels provided with the dataset
Rfund-rf = αi + βi(mktrf)
B. Estimate a three factor, orFama-French, regression analysis of the following form:
Ri- Rf = αi + βi(RM- Rf) + siSMB + hiHML
Or, using the labels provided with the dataset
Rfund-rf = αi + βi(mktrf) + si(smb) + hi(hml)
C. Estimate a four factor regression analysis of the following form:
Ri-Rf = αi + βi(RM- Rf) + siSMB + hiHML + uiUMD
Or, using the labels provided with the dataset
Rfund-rf = αi + βi(mktrf) + si(smb) + hi(hml) + ui(umd)
• Provide the Excel output for each regression analysis.
• Discuss the results as they relate to exposures to the risk factors in each model. Is there evidence that this fund had particularly noteworthy performance during the 36-month period analyzed?
The response should include a reference list. One-inch margins, Using Times New Roman 12 pnt font, double-space and APA style of writing and citations.