FM CASE1 Task2t
FM CASE1 Task2t
FM CASE1 Task2t
Members
32094 Carine Shu
32060 Francisco Jin
44496 Miguel Lopes
Case 1_Task 2
Build a workbook that presents a table with factor model regression of your portfolio returns, 𝑌 = 𝛼 + 𝛽𝑋 + 𝜀,
where Y is a vector of monthly portfolio returns and X is a vector of monthly MKT returns or a matrix of factor
returns (MKT plus all other independent).
odel
Organization of the workbook
Summary
Group Members
Instructions
Read me
Independent Variables
Assets_returns data
ENGINE
USER
Assumptions
DATES
Start Date 29
End Date 31
# Days Between 3
# Last Possible Date 36
# Days left to choose 8
100%
OUTPUTS
R^2 0.965995795
α β1 β2 β3
Coefficients -0.00481549 1.16356383
Standard Error 0.002882129 0.218307626
MODEL
0 0
#N/A #N/A
#N/A #N/A
#N/A #N/A
#N/A #N/A
#N/A #N/A
gle Factor Model
ultiple Factor Model
PORTFOLIO WEIGHTS
R^2 96.60%
α
Coefficients -0.0048
Standard Error 0.0029
INPUTS
OUTPUT
β1 β2 β3
1.1636
0.2183
Asset 9 Asset 10 Total Weight
10% 10% 100%