DEBT AND EQUITY MARKETS
Use the following simulated data sets:
Fin 402 Simulated 12 Industry Portfolio
Fin 402 Simulated Fama-French 3 Factors
Select 2 industry portfolios of your choice and download 36 months of data, and download a market index (S&P 500 or Wilshire 5000) from
finance.yahoo.com or a similar site.
Compare in 175 to 350 words each industry portfolio’s performance to that of the market index (based on the Sharpe, Jensen, Treynor measures as well as
the information ratio. Plot the monthly values of alpha plus residual return.
Now use the Fama-French (FF) three-factor model as the return benchmark. Compute plots of alpha plus residual return using the FF model.
Analyze in 175 words how performance change looks using this benchmark instead of the market index.