• Data Description This section provides the details of the data sources, any transformations you have done to the data (for example, changing the units of some variables), gives a table of summary statistics (means and standard deviations) of the variables, and provides scatterplots and/or other relevant plots of the data. • Empirical Results This section provides the main empirical results in the paper. Conventionally, regression results are presented in tabular form, with footnotes clearly explaining the entries; Please consider Tables 7.1, 8.2, 8.3, 9.1, and 9.2 in the Textbook (SW) as an example. The initial table of results should present the main results; sensitivity analysis using alternative specifications can be presented in additional columns in that table or in subsequent tables. The text should provide a careful discussion of the results, including assessments both of statistical significance and of economic significance, that is, the magnitude of the estimated relations in a real-world sense. • Summary and Discussion This section summarizes your main empirical findings and discusses their implications for the original question of interes

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P1

Compute the excess kurtosis of the returns of the MKT-portfolio for period 1.

Compute the excess kurtosis of the returns of the SMB-portfolio for period 1.

Compute the skew of the returns of the HML-portfolio for period 1.

Compute the mean of the returns of the RMW-portfolio for period 1.

Compute the skew of the returns of the RMW-portfolio for period 1.

Compute the excess kurtosis of the returns of the HML-portfolio for period 2.

Compute the excess kurtosis of the returns of the RMW-portfolio for period 2.

Compute the mean of the returns of the MKT-portfolio for period 3.

Compute the mean of the returns of the SMB-portfolio for period 3.

Compute the standard deviation of the returns of the HML-portfolio for period 3.

Compute the excess kurtosis of the returns of the HML-portfolio for period 3.

Compute the standard deviation of the returns of the CMA-portfolio for period 3.

Compute the skew of the returns of the CMA-portfolio for period 3.

Compute the excess kurtosis of the returns of the MOM-portfolio for period 3.

For the first period, which factor gives the highest future value? Compute the future value of an

initial investment of USD 1 in that factor for this period in USD.

For the first period, which factor gives the lowest future value? Compute the future value of an

initial investment of USD 1 in that factor for this period in USD.

For the second period, which factor gives the highest future value? Compute the future value of an

initial investment of USD 1 in that factor for this period in USD.

For the second period, which factor gives the lowest future value? Compute the future value of an

initial investment of USD 1 in that factor for this period in USD.

For the third period, which factor gives the highest future value? Compute the future value of an

initial investment of USD 1 in that factor for this period in USD.

For the third period, which factor gives the lowest future value? Compute the future value of an

initial investment of USD 1 in that factor for this period in USD.

P2

Compute the mean of the monthly returns of your mutual fund, FSCSX.

Compute the standard deviation of the monthly returns of your mutual fund, FSCSX.

Compute the mean of the monthly returns of PSJ.

Compute the standard deviation of the monthly returns of PSJ.

Compute the mean of the monthly returns of XSW.

Compute the standard deviation of the monthly returns of XSW.

Test the hypothesis that the average return of your mutual fund and the average return of PSJ are

identical. What is the value of the test statistic?

Using a monthly risk-free rate equal to 0.04167% per month (which corresponds to a continuously

compounded annual rate of 0.5%), compute the Sharpe ratio of the mutual fund.

Using a monthly risk-free rate equal to 0.04167% per month (which corresponds to a continuously

compounded annual rate of 0.5%), compute the Sharpe ratio of PSJ.

Using a monthly risk-free rate equal to 0.04167% per month (which corresponds to a continuously

compounded annual rate of 0.5%), compute the Sharpe ratio of XSW.

P3

What is the risk premium for the MKT factor?

What is the risk premium for the SMB factor?

What is the risk premium for the HML factor?

What is the risk premium for the MOM factor?

What is the exposure of $FSCSX to the MKT factor?

What is the exposure of $FSCSX to the SMB factor?

What is the exposure of $FSCSX to the HML factor?

What is the exposure of $FSCSX to the MOM factor?

What is the expected monthly return of $FSCSX?

What is the adjusted R-squared for the regression on $FSCSX?

What is the exposure of $PSJ to the MKT factor?

What is the exposure of $PSJ to the SMB factor?

What is the exposure of $PSJ to the HML factor?

What is the exposure of $PSJ to the MOM factor? Submit

What is the expected monthly return of $PSJ?

What is the adjusted R-squared for the regression on $PSJ?

What is the exposure of $XSW to the MKT factor?

What is the exposure of $XSW to the SMB factor?

What is the exposure of $XSW to the HML factor?

What is the exposure of $XSW to the MOM factor?

What is the expected monthly return of $XSW?

What is the adjusted R-squared for the regression on $XSW?

P4

What is the risk premium for the MKT factor?

What is the risk premium for the SMB factor?

What is the risk premium for the HML factor? Submit

What is the risk premium for the RMW factor?

What is the risk premium for the CMA factor?

What is the exposure of $FSCSX to the MKT factor?

What is the exposure of $FSCSX to the SMB factor? Submit

What is the exposure of $FSCSX to the HML factor?

What is the exposure of $FSCSX to the RMW factor?

What is the exposure of $FSCSX to the CMA factor?

What is the expected monthly return of $FSCSX?

What is the exposure of $PSJ to the MKT factor?

What is the exposure of $PSJ to the SMB factor?

What is the exposure of $PSJ to the HML factor?

What is the exposure of $PSJ to the RMW factor?

What is the exposure of $PSJ to the CMA factor?

What is the expected monthly return of $PSJ?

What is the exposure of $XSW to the MKT factor?

What is the exposure of $XSW to the SMB factor?

What is the exposure of $XSW to the HML factor?

What is the exposure of $XSW to the RMW factor?

Submit

What is the exposure of $XSW to the CMA factor?

What is the expected monthly return of $XSW?

…

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