35. An investment firm, FINCMW2, uses the FamCMW2 fund using uses the Fama-French three factor...
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35. An investment firm, FINCMW2, uses the FamCMW2 fund using uses the Fama-French three factor model. The risk-free rate equals excess return for the FINCMW2 fund using the following data: Invest Fund Factor Betas Factor Risk Premium Market 1.2 0.05 Size 0.39 0.015 Value 0.8 0.08 A, 13.0 % B.10.0 % C, 19.3 % D. 8.5% 36. An investment firm, SHB-BC Fund, employs a two-factor APT model. The risk free rate equals 5%. Determine the expected return for the SHB-BC fund using the following data: Factor 2 2.0 Factor 1 Invest Fund Factor Betas Factor Risk Premium A.7.2% B. 10.8 % D. 12.0 % 37. For a $100,000,000 portfolio, the expected 1-day portfolio return and standard deviation are 0.0025 and 0.0123, respectively. Calculate the 1-day VaR at 1% significance? $1,326,308.43 B. $2,611,407.89 C. $ 3,550,985.74 D. $1,773,169.96 A 9
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