Suppose you have calculated the average monthly returns of the Fama-French-Carhart (FFC) portfolios over the...
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Finance
Suppose you have calculated the average monthly returns of the Fama-French-Carhart (FFC) portfolios over the 1926-2019 period. You have also estimated the factor betas for 4 stocks using multiple regression analysis with monthly return data. All figures are provided in the Table below. Assume that the annual risk-free interest rate is equal to 3%.
Please use Excel to calculate the following and show the formula::
The monthly expected return, annual expected return, risk premium and annual risk premium of SIRI
Factor Portfolios
Average monthly returns (1926-2019)
Factor betas
RMkt rf
0.66%
COST
DE
HSY
SIRI
1.008
1.089
0.209
1.100
SMB
0.20%
-0.304
0.008
-0.561
-0.118
HML
0.36%
-0.297
0.546
-0.045
0.064
PR1YR pLEASE
0.66%
0.235
-0.122
0.269
0.193
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