Assignment Task
Task
The data file contains historic monthly returns on 30 UK equity funds. Also indicated is (i) the investment style of the fund where 1 = equity income fund, 2 = general equity fund and 3 = small stocks fund and (ii) the location of operation where 1 = onshore and 2 = offshore.
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Get Help Now!The file also contains data on the (i) risk free rate, (ii) market return, (iii) size risk factor, (iv) value risk factor, (v) momentum risk factor and (vi) monthly volatility (calculated as the volatility of daily returns within each month).
Selecting any three funds, you are required to:
(i) Estimate each fund’s CAPM, Fama-French and Carhart alphas and test their statistical significance.
(ii) Using a Jarque-Bera statistic, test whether the regression residuals from part (i) follow a normal distribution.
(iii) Carry out (i) Treynor-Mazuy and (ii) Henrikkson-Merton tests of market timing.
(iv) Carry out any test of volatility timing.
(v) Using any conditioning variable(s) of your choice, estimate a conditional beta model.
(vi) Using the raw returns of the full set of funds, test for persistence in the fund sample using a rank correlation test.
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