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The document presents an assessment of investment models, including statistical tests such as P-Value, R-squared, and Mean Squared Error (MSE) across different portfolios. It also includes beta estimates and factor means for CAPM, Fama-French 3-Factor, and 5-Factor models, along with a comparison of expected versus realized annual excess returns. Additionally, it features the Hansen-Jagannathan frontier analysis for evaluating model performance.

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Henrique LC
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2 views4 pages

Output

The document presents an assessment of investment models, including statistical tests such as P-Value, R-squared, and Mean Squared Error (MSE) across different portfolios. It also includes beta estimates and factor means for CAPM, Fama-French 3-Factor, and 5-Factor models, along with a comparison of expected versus realized annual excess returns. Additionally, it features the Hansen-Jagannathan frontier analysis for evaluating model performance.

Uploaded by

Henrique LC
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

Investments — Assessment 1

Pedro Pimentel Teixeira C3020983

Março 2026

1 Testes estatı́sticos dos modelos

1.1 P-Value, R2 e MSE

Tabela 1: P-Value across Models

Portfolio CAPM FF3 FF5


size high bm high <0.001 <0.001 <0.001
size high bm low <0.001 <0.001 <0.001
size low bm high <0.001 <0.001 <0.001
size low bm low <0.001 <0.001 <0.001

Tabela 2: R-squared Statistics across Models

Portfolio CAPM FF3 FF5


size high bm high 0.7917 0.8340 0.8367
size high bm low 0.9021 0.9215 0.9215
size low bm high 0.6311 0.7718 0.7817
size low bm low 0.5624 0.6534 0.6767

Tabela 3: Mean Squared Error (MSE) across Models

Portfolio CAPM FF3 FF5


size high bm high 6.41e-05 5.11e-05 5.03e-05
size high bm low 2.23e-05 1.79e-05 1.79e-05
size low bm high 1.03e-04 6.36e-05 6.09e-05
size low bm low 1.38e-04 1.10e-04 1.02e-04

1
1.2 Estimativa de betas e média amostral dos fatores

Tabela 4: CAPM Beta Estimates and Factor Means

Portfolio Rm minus Rf
size high bm high 1.0190
size high bm low 0.9369
size low bm high 0.8661
size low bm low 0.8704
Factor mean 0.0440

Tabela 5: Fama-French 3-Factor Beta Estimates and Factor Means

Portfolio Rm minus Rf SMB HML


size high bm high 0.9823 -0.1067 0.4071
size high bm low 0.9441 -0.0577 -0.1947
size low bm high 0.8791 0.3868 0.3695
size low bm low 0.9346 0.5079 -0.2402
Factor mean 0.0440 -0.0037 0.0766

Tabela 6: Fama-French 5-Factor Beta Estimates and Factor Means

Portfolio Rm minus Rf SMB HML WML IML


size high bm high 0.9661 -0.0993 0.4047 -0.0831 -0.0561
size high bm low 0.9460 -0.0586 -0.1944 0.0098 0.0067
size low bm high 0.9185 0.2219 0.3588 -0.0039 0.2763
size low bm low 0.9891 0.2252 -0.2610 -0.0816 0.4343
Factor mean 0.0440 -0.0037 0.0766 0.1530 0.0147

2 Resultados dos modelos

2.1 Resultados esperados vs. realizados

Tabela 7: Expected vs. Realized Annual Excess Returns by Portfolio

portfolio realized annual CAPM FF3 FF5


size high bm high 0.0629 0.0449 0.0748 0.0603
size high bm low 0.0277 0.0413 0.0269 0.0286
size low bm high 0.0981 0.0381 0.0656 0.0706
size low bm low 0.0388 0.0383 0.0209 0.0166

2
size high bm high size high bm low size low bm high size low bm low
1.0
0.5

CAPM
Realized annual excess return

0.0
-0.5

1.0
0.5

FF3
0.0
-0.5

1.0
0.5

FF5
0.0
-0.5
-0.5 0.0 0.5 -0.5 0.0 0.5 -0.5 0.0 0.5 -0.5 0.0 0.5
Expected annual excess return

Figura 1: Yearly Excess Returns: expected vs realized

CAPM FF3 FF5


0.15
Realized annual excess return

0.10

0.05

0.00
0.00 0.05 0.10 0.15 0.00 0.05 0.10 0.15 0.00 0.05 0.10 0.15
Expected annual excess return

Portfolio size high bm high size high bm low size low bm high size low bm low

Figura 2: Portfolio expected vs realized returns (full sample)

3
2.2 Fronteira de Hansen-Jagannathan

1.002

1.000
E[m]

0.998

0.996

0.0 0.1 0.2 0.3


m Standard Deviation

Model CAPM FF3 FF5 HJ em E[m]=1/Rf

Figura 3: Hansen-Jagannathan Frontier

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