Problem #1
AAPL PG VV VB Mkt SMB HML RF
Aug-2010' -5.5% -1.7% -4.5% -6.6% 201008 -4.8% -3.0% -2.0% 0.0%
Sep-2010' 16.7% 0.5% 8.7% 12.0% 201009 9.6% 3.9% -3.1% 0.0%
Oct-2010' 6.1% 6.0% 4.5% 4.1% 201010 3.9% 1.1% -2.6% 0.0%
Nov-2010' 3.4% -3.2% 0.1% 3.2% 201011 0.6% 3.7% -0.9% 0.0%
Dec-2010' 3.7% 5.3% 6.3% 6.6% 201012 6.8% 0.7% 3.8% 0.0%
Jan-2011' 5.2% -1.9% 2.9% 1.9% 201101 2.0% -2.5% 0.8% 0.0%
Feb-2011' 4.1% 0.6% 3.4% 5.5% 201102 3.5% 1.5% 1.1% 0.0%
Mar-2011' -1.3% -2.3% -0.3% 2.3% 201103 0.5% 2.6% -1.6% 0.0%
Apr-2011' 0.5% 5.4% 3.4% 2.9% 201104 2.9% -0.3% -2.5% 0.0%
May-2011' -0.7% 4.1% -1.0% -2.0% 201105 -1.3% -0.7% -2.1% 0.0%
Jun-2011' -3.5% -5.1% -2.2% -2.1% 201106 -1.8% -0.2% -0.3% 0.0%
Jul-2011' 16.3% -3.3% -1.6% -3.6% 201107 -2.4% -1.4% -1.2% 0.0%
Aug-2011' -1.4% 4.4% -5.7% -8.3% 201108 -6.0% -3.1% -2.5% 0.0%
Sep-2011' -0.9% -0.8% -7.8% -11.0% 201109 -7.6% -3.5% -1.4% 0.0%
Oct-2011' 6.2% 1.3% 11.6% 15.3% 201110 11.4% 3.4% -0.2% 0.0%
Nov-2011' -5.6% 1.7% -0.4% -0.4% 201111 -0.3% -0.2% -0.3% 0.0%
Dec-2011' 6.0% 3.3% 0.4% -1.1% 201112 0.7% -0.7% 1.8% 0.0%
Jan-2012' 12.7% -5.5% 5.5% 8.4% 201201 5.1% 2.2% -1.1% 0.0%
Feb-2012' 18.8% 8.1% 4.2% 3.3% 201202 4.4% -1.8% 0.1% 0.0%
Mar-2012' 10.5% -0.6% 2.9% 2.3% 201203 3.1% -0.6% 0.9% 0.0%
Apr-2012' -2.6% -5.3% -0.2% -1.0% 201204 -0.9% -0.5% -0.5% 0.0%
May-2012' -1.1% -1.3% -6.2% -6.7% 201205 -6.2% 0.0% -0.6% 0.0%
Jun-2012' 1.1% -1.7% 3.3% 4.6% 201206 3.9% 0.8% 0.4% 0.0%
Jul-2012' 4.6% 5.4% 1.6% -1.0% 201207 0.8% -2.6% -0.3% 0.0%
Aug-2012' 8.9% 5.0% 2.5% 3.6% 201208 2.6% 0.4% 1.3% 0.0%
Sep-2012' 0.7% 3.2% 2.0% 2.8% 201209 2.7% 0.5% 1.5% 0.0%
Oct-2012' -10.8% -0.2% -1.3% -1.4% 201210 -1.8% -1.2% 3.8% 0.0%
Nov-2012' -1.7% 1.7% 0.6% 1.3% 201211 0.8% 0.6% -1.0% 0.0%
Dec-2012' -8.7% -2.8% 0.3% 1.2% 201212 1.2% 1.5% 3.6% 0.0%
Jan-2013' -14.4% 10.7% 6.0% 8.3% 201301 5.6% 0.4% 1.0% 0.0%
Feb-2013' -3.1% 2.2% 1.4% 1.3% 201302 1.3% -0.5% 0.0% 0.0%
Mar-2013' 0.9% 1.2% 3.2% 4.6% 201303 4.0% 0.8% -0.3% 0.0%
Apr-2013' 0.0% -0.4% 2.5% 0.3% 201304 1.6% -2.4% 0.6% 0.0%
May-2013' 1.6% 0.7% 2.2% 3.6% 201305 2.8% 1.7% 2.6% 0.0%
Jun-2013' -11.2% 0.3% -1.8% -1.1% 201306 -1.2% 1.2% -0.2% 0.0%
Jul-2013' 14.1% 4.3% 5.9% 6.8% 201307 5.7% 1.9% 0.6% 0.0%
Aug-2013' 7.7% -2.3% -2.9% -3.2% 201308 -2.7% 0.3% -2.8% 0.0%
Sep-2013' -1.5% -3.0% 2.9% 5.8% 201309 3.8% 2.9% -1.2% 0.0%
Oct-2013' 9.6% 6.8% 4.9% 3.2% 201310 4.2% -1.5% 1.1% 0.0%
Nov-2013' 6.4% 5.1% 2.8% 2.7% 201311 3.1% 1.2% 0.2% 0.0%
Dec-2013' 1.5% -3.3% 2.1% 1.2% 201312 2.8% -0.5% -0.3% 0.0%
Jan-2014' -10.8% -5.9% -2.8% -0.8% 201401 -3.3% 0.9% -2.1% 0.0%
Feb-2014' 5.1% 3.4% 4.6% 5.1% 201402 4.7% 0.3% -0.4% 0.0%
Mar-2014' 2.6% 2.5% 0.3% -0.2% 201403 0.4% -1.9% 5.1% 0.0%
Apr-2014' 9.9% 2.4% 1.0% -2.4% 201404 -0.2% -4.2% 1.1% 0.0%
May-2014' 7.3% -1.4% 2.4% 1.3% 201405 2.1% -1.9% -0.3% 0.0%
Jun-2014' 3.3% -2.7% 1.7% 5.0% 201406 2.6% 3.1% -0.7% 0.0%
Jul-2014' 2.9% -1.6% -1.0% -5.0% 201407 -2.0% -4.2% 0.0% 0.0%
Aug-2014' 7.2% 8.3% 4.0% 5.1% 201408 4.2% 0.4% -0.6% 0.0%
Sep-2014' -1.2% 0.8% -2.0% -5.3% 201409 -2.0% -3.8% -1.2% 0.0%
Oct-2014' 7.2% 4.2% 2.8% 4.5% 201410 2.5% 4.2% -1.7% 0.0%
Nov-2014' 10.1% 4.4% 2.8% 1.1% 201411 2.6% -2.1% -3.0% 0.0%
Dec-2014' -6.8% 0.7% -0.8% -0.2% 201412 -0.1% 2.5% 2.1% 0.0%
Jan-2015' 6.1% -7.5% 0.8% -0.7% 201501 -3.1% -0.6% -3.5% 0.0%
Feb-2015' 9.6% 1.7% 2.4% 5.8% 201502 6.1% 0.5% -1.8% 0.0%
Mar-2015' -2.8% -3.7% -1.8% 1.5% 201503 -1.1% 3.0% -0.5% 0.0%
Apr-2015' 0.6% -3.0% 1.9% -2.0% 201504 0.6% -3.0% 1.9% 0.0%
May-2015' 4.1% -0.6% 0.6% 2.0% 201505 1.4% 0.9% -1.4% 0.0%
Jun-2015' -3.3% -0.2% -2.4% -0.8% 201506 -1.5% 2.8% -0.8% 0.0%
Jul-2015' -3.3% -2.0% 2.6% -0.3% 201507 1.5% -4.2% -4.1% 0.0%
Aug-2015' -6.9% -7.1% -9.9% -5.8% 201508 -6.0% 0.5% 2.7% 0.0%
Sep-2015' -1.9% 1.8% 3.1% -5.4% 201509 -3.1% -2.6% 0.5% 0.0%
Oct-2015' 8.3% 6.2% 6.6% 6.6% 201510 7.8% -2.0% -0.1% 0.0%
Nov-2015' -1.0% -1.1% 0.3% 1.8% 201511 0.6% 3.6% -0.5% 0.0%
Dec-2015' -10.6% 6.1% -2.3% -4.7% 201512 -2.2% -2.8% -2.6% 0.0%
Jan-2016' -7.5% 2.9% -4.9% -7.0% 201601 -5.8% -3.4% 2.1% 0.0%
Feb-2016' -0.7% -0.9% -0.1% 0.8% 201602 -0.1% 0.8% -0.5% 0.0%
Mar-2016' 13.3% 2.5% 6.4% 8.2% 201603 7.0% 0.9% 1.2% 0.0%
Apr-2016' -14.0% -2.7% 0.9% 2.1% 201604 0.9% 0.7% 3.3% 0.0%
May-2016' 6.5% 2.0% 1.7% 1.9% 201605 1.8% -0.3% -1.8% 0.0%
Jun-2016' -3.7% 4.5% -0.2% 0.1% 201606 -0.0% 0.7% -1.5% 0.0%
Jul-2016' 9.0% 1.1% 4.2% 5.3% 201607 4.0% 2.6% -1.1% 0.0%
Aug-2016' 1.8% 2.8% 0.2% 0.7% 201608 0.5% 1.2% 3.3% 0.0%
Sep-2016' 7.1% 2.8% -0.5% -0.1% 201609 0.3% 2.0% -1.5% 0.0%
Oct-2016' 0.4% -3.3% -1.3% -3.6% 201610 -2.0% -4.4% 4.2% 0.0%
Nov-2016' -2.7% -4.3% 3.7% 8.6% 201611 4.9% 5.5% 8.3% 0.0%
Dec-2016' 5.3% 2.0% 1.4% 1.3% 201612 1.9% 0.1% 3.6% 0.0%
Jan-2017' 4.8% 4.2% 2.5% 2.1% 201701 2.0% -1.0% -2.8% 0.0%
Feb-2017' 12.9% 4.8% 4.0% 2.3% 201702 3.6% -2.0% -1.8% 0.0%
Mar-2017' 5.3% -1.3% -0.4% -0.5% 201703 0.2% 1.2% -3.2% 0.0%
Apr-2017' -0.0% -2.8% 1.6% 1.2% 201704 1.1% 0.7% -1.9% 0.1%
May-2017' 6.3% 1.6% 1.4% -1.1% 201705 1.1% -2.5% -3.8% 0.1%
Jun-2017' -5.3% -1.1% 0.2% 2.0% 201706 0.8% 2.2% 1.4% 0.1%
Jul-2017' 3.3% 4.2% 2.5% 1.4% 201707 1.9% -1.4% -0.3% 0.1%
Aug-2017' 10.3% 2.4% 0.3% -0.9% 201708 0.3% -1.7% -2.2% 0.1%
Sep-2017' -5.7% -1.4% 1.5% 4.0% 201709 2.6% 4.6% 3.0% 0.1%
Oct-2017' 9.7% -5.1% 2.9% 2.0% 201710 2.3% -1.9% -0.1% 0.1%
Nov-2017' 1.7% 5.0% 3.0% 3.1% 201711 3.2% -0.7% -0.1% 0.1%
Dec-2017' -1.2% 2.1% 0.8% -0.1% 201712 1.2% -1.3% 0.1% 0.1%
Jan-2018' -1.1% -6.0% 6.2% 3.2% 201801 5.7% -3.0% -1.4% 0.1%
Feb-2018' 6.4% -8.4% -3.7% -4.0% 201802 -3.5% 0.3% -1.2% 0.1%
Mar-2018' -5.4% 1.0% -2.9% 0.8% 201803 -2.2% 4.0% -0.1% 0.1%
Apr-2018' -1.5% -8.8% 0.7% 0.7% 201804 0.4% 1.1% 0.5% 0.1%
May-2018' 13.1% 2.1% 2.4% 5.1% 201805 2.8% 5.2% -3.2% 0.1%
Jun-2018' -0.6% 6.7% 0.2% 0.4% 201806 0.6% 1.2% -2.4% 0.1%
Jul-2018' 2.8% 3.6% 4.1% 2.1% 201807 3.4% -2.2% 0.4% 0.2%
Aug-2018' 19.6% 3.5% 3.3% 4.5% 201808 3.6% 1.2% -4.1% 0.2%
Sep-2018' -0.5% 0.3% 0.0% -1.9% 201809 0.2% -2.4% -1.3% 0.2%
Oct-2018' -3.0% 6.5% -6.5% -9.8% 201810 -7.5% -4.8% 3.4% 0.2%
Nov-2018' -18.4% 7.5% 1.9% 2.2% 201811 1.9% -0.8% 0.3% 0.2%
Dec-2018' -11.4% -2.7% -9.3% -11.6% 201812 -9.4% -2.6% -1.5% 0.2%
Jan-2019' 5.5% 4.9% 8.7% 12.3% 201901 8.6% 3.0% -0.6% 0.2%
Feb-2019' 4.0% 3.0% 3.3% 4.9% 201902 3.6% 2.1% -2.8% 0.2%
Mar-2019' 10.2% 5.6% 1.3% -1.2% 201903 1.3% -3.1% -4.1% 0.2%
Apr-2019' 5.6% 2.3% 4.6% 3.9% 201904 4.2% -1.7% 1.9% 0.2%
May-2019' -12.8% -2.7% -6.3% -7.2% 201905 -6.7% -1.2% -2.4% 0.2%
Jun-2019' 13.5% 6.5% 6.5% 6.6% 201906 7.1% 0.3% -1.1% 0.2%
Jul-2019' 7.6% 7.7% 2.0% 1.5% 201907 1.4% -2.1% 0.1% 0.2%
Aug-2019' -2.0% 2.5% -1.8% -4.0% 201908 -2.4% -2.4% -5.0% 0.2%
Sep-2019' 7.7% 3.5% 1.5% 1.1% 201909 1.6% -0.9% 6.7% 0.2%
Problem #3
Date HGLB NAV HGLB Price
2/15/19 15.08 15.05
2/19/19 15.2 15.1074
2/20/19 15.17 15.19
2/21/19 15.14 14.12
2/22/19 15.05 13.15
2/25/19 15.01 12.74
2/26/19 14.89 13.3
2/27/19 14.92 13.48
2/28/19 14.9 13.43
3/1/19 15.06 13.46
3/4/19 14.89 13.1551
3/5/19 14.86 12.85
3/6/19 14.68 12.78
3/7/19 14.66 12.95
3/8/19 14.66 13.16
3/11/19 14.77 13
3/12/19 14.88 12.95
3/13/19 14.94 12.98
3/14/19 14.91 12.85
3/15/19 14.91 12.83
3/18/19 15.11 12.9
3/19/19 15.12 12.92
3/20/19 15.09 12.94
3/21/19 15.2 12.8499
3/22/19 15.03 12.7601
3/25/19 14.97 12.92
3/26/19 15.02 12.99
3/27/19 14.92 13
3/28/19 14.94 12.92
3/29/19 15.12 12.98
4/1/19 15.18 12.95
4/2/19 15.29 13.02
4/3/19 15.25 12.98
4/4/19 15.2 13.2
4/5/19 15.23 13.13
4/8/19 15.23 12.9
4/9/19 15.08 12.97
4/10/19 15.16 12.95
4/11/19 15.12 12.88
4/12/19 15.28 12.95
4/15/19 15.25 12.92
4/16/19 15.18 12.7
4/17/19 15.13 12.65
4/18/19 15.02 12.51
4/22/19 15.01 12.53
4/23/19 15.01 12.52
4/24/19 14.95 12.41
4/25/19 14.95 12.43
4/26/19 14.92 12.43
4/29/19 14.97 12.3
4/30/19 14.94 12.3385
5/1/19 14.88 12.22
5/2/19 14.75 12.36
5/3/19 14.84 12.27
5/6/19 14.79 12.11
5/7/19 14.78 12.22
5/8/19 14.61 12.01
5/9/19 14.47 12.22
5/10/19 14.53 11.9
5/13/19 14.43 11.96
5/14/19 14.46 12.09
5/15/19 14.45 12.11
5/16/19 14.43 12
5/17/19 14.34 11.92
5/20/19 14.4 12.02
5/21/19 14.63 11.86
5/22/19 14.38 11.78
5/23/19 14.22 11.7
5/24/19 14.19 11.6
5/28/19 14.11 11.32
5/29/19 13.92 11.23
5/30/19 13.73 11
5/31/19 13.75 10.92
6/3/19 13.9 11.08
6/4/19 14.04 11
6/5/19 13.97 11.24
6/6/19 13.96 11.39
6/7/19 13.88 11.24
6/10/19 13.88 11.28
6/11/19 14.05 11.06
6/12/19 14.11 11.13
6/13/19 14.14 11.08
6/14/19 14.08 11.02
6/17/19 13.91 11.11
6/18/19 14 11.15
6/19/19 14.05 11.03
6/20/19 14.18 11.23
6/21/19 14.19 11.1
6/24/19 14.08 10.98
6/25/19 14.02 11.03
6/26/19 13.89 10.91
6/27/19 13.88 11.24
6/28/19 14.09 11.53
7/1/19 13.99 11.5
7/2/19 13.97 11.7
7/3/19 13.99 11.37
7/5/19 14.01 11.37
7/8/19 13.92 11.37
7/9/19 13.87 11.41
7/10/19 13.94 11.39
7/11/19 13.99 11.39
7/12/19 14.08 11.65
7/15/19 14.06 11.29
7/16/19 13.93 11.14
7/17/19 13.99 11.17
7/18/19 14.06 11.11
7/19/19 14.03 11.09
7/22/19 14.02 10.91
7/23/19 13.76 10.93
7/24/19 13.69 10.91
7/25/19 13.61 10.84
7/26/19 13.49 10.87
7/29/19 13.48 10.75
7/30/19 13.64 10.83
7/31/19 13.54 10.82
8/1/19 13.67 10.77
8/2/19 13.68 10.71
8/5/19 13.81 10.82
8/6/19 13.68 10.7
8/7/19 13.66 10.82
8/8/19 13.88 10.81
8/9/19 13.78 10.88
8/12/19 13.39 10.57
8/13/19 13.05 10.2
8/14/19 13.22 10.26
8/15/19 13.25 10.25
8/16/19 13.29 10.32
8/19/19 13 10.38
8/20/19 13.19 10.53
8/21/19 13.24 10.51
8/22/19 13.13 10.35
8/23/19 13.25 10.2
8/26/19 12.98 10.01
8/27/19 12.89 10.07
8/28/19 12.87 10.01
8/29/19 12.85 10.1
8/30/19 12.88 9.95
9/3/19 12.97 9.96
9/4/19 13.04 10.05
9/5/19 13.12 10.01
9/6/19 13.03 10.06
9/9/19 13.14 10.0539
9/10/19 13.17 10.21
9/11/19 13.29 10.41
9/12/19 13.23 10.43
9/13/19 13.23 10.5
9/16/19 13.42 10.44
9/17/19 13.37 10.36
9/18/19 13.35 10.68
9/19/19 13.28 10.5
9/20/19 13.36 10.43
9/23/19 13.27 10.29
9/24/19 13.31 10.32
9/25/19 13.27 10.32
9/26/19 13.16 10.28
9/27/19 13.24 10.25
9/30/19 13.13 10.05
10/1/19 13.13 10.01
10/2/19 13.11 10.02
10/3/19 13.11 10.04
10/4/19 13.17 10.03
10/7/19 13.16 9.97
10/8/19 13.27 10.02
10/9/19 13.15 10.02
10/10/19 13.13 10.07
10/11/19 13.12 10.09
10/14/19 13.07 10.18
10/15/19 12.99 9.92
10/16/19 12.87 9.84
10/17/19 12.87 9.8
10/18/19 12.82 9.66
10/21/19 12.84 9.66
10/22/19 12.89 9.72
10/23/19 12.69 9.6
10/24/19 12.67 9.57
10/25/19 12.69 9.52
10/28/19 12.52 9.43
10/29/19 12.46 9.46
10/30/19 12.44 9.45
10/31/19 12.26 9.58
11/1/19 12.48 9.58
11/4/19 12.56 9.51
11/5/19 12.25 9.45
11/6/19 12.03 9.4
11/7/19 12.03 9.11
11/8/19 11.97 9.24
11/11/19 11.91 9.2
11/12/19 11.88 8.98
11/13/19 11.8 8.98
11/14/19 11.83 8.81
11/15/19 11.86 8.82
Using any computer file you did not create originally is expressly prohibited and will result in zero credit. Googling for answers is expressly prohibited. All work submitted is required to be the original work product of the group members. Failure to follow instructions will lead to a reduced grade.
You can find the data file named DATA-SET.xlsx containing data you will need for this problem set.
Problem 1: The Single Index Model and APT [23 points]
See the worksheet named “Problem #1” for returns data that will help you complete this problem.
A. [6 points] Compute the excess return for each stock and fund (AAPL, PG, VV, and VB) and for the market by subtracting the risk-free return. Note that all returns provided are monthly. Use those excess returns to estimate the market model (single index model) for each of the 4 investments. Present the alpha, beta, and residual variance for each of the 4 investments.
B. [3 points] Using your estimate from part A, estimate the alpha and beta of the following portfolio: 25% AAPL, 25% PG, 25% VV, and 25% VB.
C. [4 points] Is the residual variance greater for the individual stocks (AAPL, PG) or for the funds (VV and VB)? Why do you think that is the case?
D. [4 points] Plot the 4 investments on the security market line.
E. [4 points] Estimate the Fama-Macbeth 3-factor model and report the coefficients, t-statistics, and the R2.
F. [2 points] Interpret the regression coefficients on the market and size factors for VV and VB.
Problem 2: Comparing performance [7 points]
Two investment professionals are comparing their return performance. The first professional managed portfolios with an average return of 10% and the second professional managed portfolios with a 12% rate of return. The beta of the first portfolio was 0.8 while the beta of the second was 1.1. The risk-free rate of return was 2% and the expected market return is 8%.
A. [5 points] Which manager was a better selector of individual stocks, and why?
B. [2 points] Plot both of the portfolios on the security market line.
Problem 3: Closed End Funds [10 points]
See the worksheet named “Problem #3” for the prices and NAV of a recently IPO-ed closed end fund