AD685 DartMouth Quantitative Methods In Finance And Research Assignment
AD685 DartMouth Quantitative Methods In Finance And Research Assignment
- Split the sample in 3 equal periods and compute the average, SD, skew, and kurtosis for each of the six “risk factors” for the full sample and the three different periods. Arrange these values in a table similar to the one shown below (5p).
|
Full Sample: 1963M07 – 2017M12 |
||||||
|
MKT_RF |
SMB |
HML |
RMW |
CMA |
MOM |
|
|
Mean |
||||||
|
Std. Dev. |
||||||
|
Skewness |
||||||
|
Kurtosis |
||||||
|
Observations |
||||||
- Do the statistics suggest to you that returns for those risk factors come from the same distribution over the entire period? (5p)
- Make a plot showing the growth of $1 in each of the six “risk factors (portfolios)” over the full sample.(Recall, this is called an “equity curve”). (5p)
