Question 11: You regress the monthly returns of XYZ fund for the past five years against three factors (i.e. Market factor = 1.2, SMB factor = −0.3, HML factor = 1.4)). What do these coefficient values mean and what type of stocks does the fund probably hold?
Question 11: You regress the monthly returns of XYZ fund for the past five years against three factors (i.e. Market factor = 1.2, SMB factor = −0.3, HML factor = 1.4)). What do these coefficient values mean and what type of stocks does the fund probably hold?
Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)
7th Edition
ISBN:9780357033609
Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Chapter13: Investing In Mutual Funds, Etfs, And Real Estate
Section: Chapter Questions
Problem 2FPE
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Question 11: You regress the monthly returns of XYZ fund for the past five years against three factors (i.e. Market factor = 1.2, SMB factor = −0.3, HML factor = 1.4)). What do these coefficient values mean and what type of stocks does the fund probably hold?
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