Suppose you have calculated the average monthly returns of the Fama-French-Carhart (FFC) portfolios over the...
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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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