- Download 10-years of monthly price history for a US mutual fund from Yahoo Finance (for example any Vanguard or Fidelity mutual fund would be fine but you can choose another US mutual fund if you would prefer). From Kenneth French’s data library (http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
) download the corresponding ten years of data on the Fama-French three factors plus the risk-free rate. - Using LINEST in Excel run a CAPM regression to determine the alpha and the appraisal ratio of the mutual fund.
- Using LINEST in Excel run a Fama-Fama type regression to determine the alpha and the appraisal ratio of the mutual fund when the additional two factors of Small Minus Big and High Minus Low are taken into account.
- Calculate other performance measures for the mutual fund such as the Sharpe ratio.
- Write a 1000 word report on section B of the assignment. Include in your report an introduction, a method section, a results section and conclusions.
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