Monthy Returns

Active
Return Fund GS - Rf S&P500 - Rf Market - Rf
Date Fund GS S&P 500 (fund GS -
S&P500)
20110429 1.79% 2.85% -1.06% 1.79% 2.85% 0.45%
20110531 -2.07% -1.35% -0.72% -2.07% -1.35% 2.90%
20110630 -0.43% -1.83% 1.40% -0.43% -1.83% -1.27%
20110729 -0.31% -2.15% 1.84% -0.31% -2.15% -1.75%
20110831 -6.72% -5.68% -1.04% -6.73% -5.69% -2.36%
20110930 -8.37% -7.18% -1.19% -8.37% -7.18% -5.99%
20111031 10.21% 10.77% -0.56% 10.21% 10.77% -7.59%
20111130 0.20% -0.51% 0.71% 0.20% -0.51% 11.35%
20111230 1.48% 0.85% 0.63% 1.48% 0.85% -0.28%
20120131 2.75% 4.36% -1.61% 2.75% 4.36% 0.74%
20120229 6.02% 4.06% 1.96% 6.02% 4.06% 5.05%
20120330 5.09% 3.13% 1.96% 5.09% 3.13% 4.42%
20120430 0.30% -0.75% 1.05% 0.30% -0.75% 3.11%
20120531 -4.82% -6.27% 1.45% -4.83% -6.28% -0.85%
20120629 3.00% 3.96% -0.96% 3.00% 3.96% -6.19%
20120731 2.41% 1.26% 1.15% 2.41% 1.26% 3.89%
20120831 1.08% 1.98% -0.90% 1.07% 1.97% 0.79%
20120928 2.72% 2.42% 0.30% 2.71% 2.41% 2.55%
20121031 -4.68% -1.98% -2.70% -4.69% -1.99% 2.73%
20121130 0.98% 0.28% 0.70% 0.97% 0.27% -1.76%
20121231 0.06% 0.71% -0.65% 0.05% 0.70% 0.78%
20130131 0.24% 5.04% -4.80% 0.24% 5.04% 1.18%
20130228 1.95% 1.11% 0.84% 1.95% 1.11% 5.57%
20130328 5.31% 3.60% 1.71% 5.31% 3.60% 1.29%
20130430 1.44% 1.81% -0.37% 1.44% 1.81% 4.03%
20130531 2.53% 2.08% 0.45% 2.53% 2.08% 1.56%
20130628 -3.84% -1.50% -2.34% -3.84% -1.50% 2.80%
20130731 9.08% 4.95% 4.13% 9.08% 4.95% -1.20%
20130830 -3.15% -3.13% -0.02% -3.15% -3.13% 5.65%
20130930 5.75% 2.97% 2.78% 5.75% 2.97% -2.71%
20131031 3.35% 4.46% -1.11% 3.35% 4.46% 3.77%
20131129 3.68% 2.80% 0.88% 3.68% 2.80% 4.18%
20131231 3.58% 2.36% 1.22% 3.58% 2.36% 3.12%
20140131 -0.08% -3.56% 3.48% -0.08% -3.56% 2.81%
20140228 7.44% 4.31% 3.13% 7.44% 4.31% -3.32%
20140331 -4.47% 0.69% -5.16% -4.47% 0.69% 4.65%
20140430 -1.21% 0.62% -1.83% -1.21% 0.62% 0.43%
20140530 5.32% 2.10% 3.22% 5.32% 2.10% -0.19%
20140630 3.17% 1.91% 1.26% 3.17% 1.91% 2.06%
20140731 0.07% -1.51% 1.58% 0.07% -1.51% 2.61%
20140829 3.95% 3.77% 0.18% 3.95% 3.77% -2.04%
 20140930 -1.35% -1.55% 0.20% -1.35% -1.55% 4.24%
20141031 1.53% 2.32% -0.79% 1.53% 2.32% -1.97%
20141128 4.05% 2.45% 1.60% 4.05% 2.45% 2.52%
20141231 -1.40% -0.42% -0.98% -1.40% -0.42% 2.55%
20150130 -1.30% -3.10% 1.80% -1.30% -3.10% -0.06%
20150227 5.63% 5.49% 0.14% 5.63% 5.49% -3.11%
20150331 -1.25% -1.74% 0.49% -1.25% -1.74% 6.13%
20150430 -1.55% 0.85% -2.40% -1.55% 0.85% -1.12%
20150529 3.31% 1.05% 2.26% 3.31% 1.05% 0.59%
20150630 -0.61% -2.10% 1.49% -0.61% -2.10% 1.36%
20150731 3.42% 1.97% 1.45% 3.42% 1.97% -1.53%
20150831 -6.07% -6.26% 0.19% -6.07% -6.26% 1.54%
20150930 -2.28% -2.64% 0.36% -2.28% -2.64% -6.04%
20151030 7.63% 8.30% -0.67% 7.63% 8.30% -3.07%
20151130 0.71% 0.05% 0.66% 0.71% 0.05% 7.75%
20151231 0.05% -1.75% 1.80% 0.04% -1.76% 0.56%
20160129 -4.30% -5.07% 0.77% -4.31% -5.08% -2.17%
20160229 -2.56% -0.41% -2.15% -2.58% -0.43% -5.77%
20160331 5.98% 6.60% -0.62% 5.96% 6.58% -0.07%
0.029

Average monthly return 1.07% 0.80% 0.28% 1.07% 0.80% 0.82%

Annualized Return 12.89% 9.57% 3.32% 12.86% 9.55% 9.86%
Monthly Standard Deviation 0.039 0.035 0.018 0.039 0.035 0.036
Annualized Std. Deviation 0.134 0.121 0.062 0.134 0.121 0.123

CAPM Beta 0.98

urns

SMB HML MOM Risk Free

-0.34% -2.15% 0.07% 0.00%

-0.68% -2.12% -0.59% 0.00%
-0.14% -0.26% 1.75% 0.00%
-1.44% -1.18% 0.03% 0.00%
-3.30% -1.58% -0.30% 0.01%
-3.72% -0.98% -2.58% 0.00%
3.58% -0.96% -1.45% 0.00%
-0.24% -0.18% 3.98% 0.00%
-0.55% 1.57% 1.87% 0.00%
2.51% -2.14% -7.95% 0.00%
-1.65% 0.01% -0.28% 0.00%
-0.27% -0.06% 1.49% 0.00%
-0.63% -0.20% 3.84% 0.00%
-0.11% 0.08% 6.64% 0.01%
0.81% 0.54% -1.13% 0.00%
-2.60% 0.01% 3.06% 0.00%
0.69% 0.60% -2.44% 0.01%
0.50% 1.56% -1.03% 0.01%
-1.07% 4.16% 0.12% 0.01%
0.68% -1.12% 0.35% 0.01%
1.61% 3.26% -2.92% 0.01%
0.50% 1.34% -1.91% 0.00%
-0.40% 0.28% 1.37% 0.00%
0.88% -0.07% 1.95% 0.00%
-2.40% 0.35% 0.28% 0.00%
2.00% 1.33% -1.92% 0.00%
1.18% -0.40% 0.63% 0.00%
1.88% 0.71% 1.76% 0.00%
0.24% -2.48% 0.05% 0.00%
2.86% -1.57% 2.98% 0.00%
-1.55% 1.36% 0.14% 0.00%
1.33% -0.38% 0.45% 0.00%
-0.43% -0.20% 0.06% 0.00%
0.83% -1.88% 1.65% 0.00%
0.32% -0.49% 2.09% 0.00%
-1.81% 4.60% -3.25% 0.00%
-4.17% 1.62% -3.90% 0.00%
-1.84% -0.38% 1.02% 0.00%
2.94% -0.60% 0.70% 0.00%
-4.25% 0.04% -0.26% 0.00%
0.50% -0.76% 0.76% 0.00%
-3.80% -1.68% 0.49% 0.00%
4.28% -1.81% 0.03% 0.00%
-2.08% -3.37% 1.02% 0.00%
2.60% 1.56% 1.04% 0.00%
-0.62% -3.06% 3.76% 0.00%
0.47% -2.16% -2.88% 0.00%
3.14% -0.73% 3.02% 0.00%
-3.03% 2.13% -7.41% 0.00%
0.95% -1.90% 5.92% 0.00%
2.84% -1.04% 3.05% 0.00%
-4.17% -4.49% 10.24% 0.00%
0.43% 2.88% -2.16% 0.00%
-2.71% 0.73% 5.26% 0.00%
-1.86% -0.32% -3.92% 0.00%
3.55% -1.23% 2.43% 0.00%
-2.99% -2.07% 3.38% 0.01%
-3.66% 3.13% 1.43% 0.01%
0.73% -0.03% -4.02% 0.02%
0.87% 1.29% -5.07% 0.02%

-0.21% -0.18% 0.38% 0.00%

-2.56% -2.18% 4.56% 0.03%
0.021 0.018 0.031 0.000
0.074 0.061 0.108 0.000
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.8870220384
R Square 0.7868080967
Adjusted R Square 0.7831323742
Standard Error 0.0181225859
Observations 60

ANOVA
df SS MS F Significance F
Regression 1 0.070302 0.070302 214.0554 4.01E-21
Residual 58 0.019049 0.000328
Total 59 0.089351

Coefficients Standard Error t Stat P-value Lower 95%Upper 95%

Lower 95.0%
Intercept 0.0029345437 0.002399 1.223061 0.226253 -0.00187 0.007737 -0.00187
S&P500 - Rf 0.9784583091 0.066877 14.63063 4.01E-21 0.844589 1.112328 0.844589

RESIDUAL OUTPUT

Observation Predicted Fund GS - Rf Residuals

1 0.0308157132 -0.01292
2 -0.010275622 -0.01042
3 -0.0149301481 0.01063
4 -0.0180768701 0.014977
5 -0.052730928 -0.01457
6 -0.0672815815 -0.01642
7 0.1083370081 -0.00624
8 -0.0020154769 0.004015
9 0.0112837284 0.003516
10 0.0455786922 -0.01808
11 0.042649188 0.017551
12 0.0335915994 0.017308
13 -0.0044009583 0.007401
14 -0.0584646937 0.010165
15 0.0416374621 -0.01164
16 0.0152611614 0.008839
17 0.0221739694 -0.01147
18 0.0265506134 0.000549
19 -0.0165260136 -0.03037
20 0.0056223686 0.004078
21 0.0097524412 -0.00925
22 0.0522762393 -0.04988
23 0.013757271 0.005743
24 0.0381473013 0.014953
25 0.0206309406 -0.00623
26 0.0232502735 0.00205
27 -0.0117413525 -0.02666
28 0.0513310486 0.039469
29 -0.0276892445 -0.00381
30 0.0320426999 0.025457
31 0.0465698704 -0.01307
32 0.0303793208 0.006421
33 0.0259899568 0.00981
34 -0.0318819383 0.031082
35 0.0451227306 0.029277
36 0.0097172167 -0.05442
37 0.0090019636 -0.0211
38 0.0235115219 0.029688
39 0.0215820021 0.010118
40 -0.0118206076 0.012521
41 0.0397783913 -0.00028
42 -0.0122452585 -0.00125
43 0.0256357549 -0.01034
44 0.0269400398 0.01356
45 -0.0011642182 -0.01284
46 -0.0274377807 0.014438
47 0.0566450556 -0.00035
48 -0.0140867171 0.001587
49 0.0112719869 -0.02677
50 0.0131995498 0.0199
51 -0.0176248223 0.011525
52 0.0222512676 0.011949
53 -0.0582983558 -0.0024
54 -0.0229388294 0.000139
55 0.0841299495 -0.00783
56 0.0034286651 0.003671
57 -0.0143156763 0.014716
58 -0.0468056995 0.003706
59 -0.0013005766 -0.0245
60 0.0673084064 -0.00771
Upper 95.0%
0.007737
1.112328
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.3856589378
R Square 0.1487328163
Adjusted R Square 0.0868224757
Standard Error 0.0371782933
Observations 60

ANOVA
df SS MS F Significance F
Regression 4 0.0132825818 0.0033206454 2.402390534 0.0607495144
Residual 55 0.0760224022 0.0013822255
Total 59 0.089304984

Coefficients Standard Error t Stat P-value Lower 95%

Intercept 0.0119542366 0.004994405 2.393525667 0.020126261 0.0019452253
Market - Rf -0.093115512 0.1379643792 -0.6749242995 0.502551355 -0.369602306
SMB 0.5392742775 0.2247686358 2.399241672 0.019844818 0.0888278655
HML -0.4647493521 0.2968979841 -1.5653503125 0.123236874 -1.059746208
MOM -0.0372023686 0.1693257956 -0.2197088075 0.826911359 -0.376538846

RESIDUAL OUTPUT

Observation Predicted Fund GS Residuals Standard Residuals

1 0.0196677537 -0.0017677537 -0.0492466808
2 0.0156590019 -0.0363590019 -1.0129013843
3 0.0129391265 -0.0172391265 -0.4802534221
4 0.0112910901 -0.0143910901 -0.4009118608
5 0.0038103584 -0.0710103584 -1.9782306037
6 0.0029852174 -0.0866852174 -2.4149061324
7 0.0433287512 0.0587712488 1.6372693432
8 -0.0005527377 0.0025527377 0.0711150306
9 0.0012567024 0.0135432976 0.3772937689
10 0.0377041906 -0.0102041906 -0.2842717975
11 -0.0015884306 0.0617884306 1.7213230168
12 0.0061070248 0.0447929752 1.2478578675
13 0.005161844 -0.002161844 -0.0602253822
14 0.00931048 -0.05751048 -1.602146421
15 0.0199969487 0.0100030513 0.2786683885
16 -0.0068739554 0.0309739554 0.8628829355
17 0.0130588583 -0.0022588583 -0.0629280387
18 0.005409257 0.021790743 0.6070538962
19 -0.0157362675 -0.0310637325 -0.8653839756
20 0.0223351192 -0.0125351192 -0.3492075936
21 0.0058457318 -0.0052457318 -0.1461373719
22 0.0080347689 -0.0056347689 -0.1569752994
23 0.0027996349 0.0167003651 0.4652444254
24 0.0150985385 0.0380014615 1.0586575782
25 -0.0064716905 0.0208716905 0.5814506204
26 0.0158202393 0.0094797607 0.2640903831
27 0.0173350613 -0.0557350613 -1.5526862041
28 0.0192554971 0.0715445029 1.9931109813
29 0.0194946512 -0.0509946512 -1.4206262565
30 0.0360888456 0.0214111544 0.5964791879
31 -0.006287644 0.039787644 1.1084176551
32 0.016832993 0.019967007 0.5562476404
33 0.0076373305 0.0281626695 0.7845651794
34 0.021937116 -0.022737116 -0.6334182741
35 0.0182710916 0.0561289084 1.5636581302
36 -0.0223058923 -0.0223941077 -0.6238626327
37 -0.0170119446 0.0049119446 0.1368386148
38 0.0035950928 0.0496049072 1.381910298
39 0.0284188004 0.0032811996 0.09140877
40 -0.0134844086 0.0141844086 0.3951540569
41 0.0197995215 0.0197004785 0.5488225982
42 -0.0048607861 -0.0086392139 -0.240674145
43 0.0452703539 -0.0299703539 -0.8349242634
44 0.0136734098 0.0268265902 0.7473442323
45 0.0159639278 -0.0299639278 -0.8347452431
46 0.0214891265 -0.0344891265 -0.9608097623
47 0.0284947324 0.0278052676 0.7746085582
48 0.0254486268 -0.0379486268 -1.0571856918
49 -0.0104853459 -0.0050146541 -0.1396999306
50 0.0231558182 0.0099441818 0.2770283826
51 0.0297019762 -0.0358019762 -0.9973835719
52 0.00794889 0.02625111 0.7313123104
53 0.000257927 -0.060957927 -1.698186565
54 -0.0023854342 -0.0204145658 -0.5687158841
55 0.0077279121 0.0685720879 1.9103044391
56 0.0286944208 -0.0215944208 -0.6015846842
57 0.0036713604 -0.0031713604 -0.0883488314
58 -0.0208412439 -0.0221587561 -0.6173061284
59 0.0228986639 -0.0484986639 -1.3510921975
60 0.0126019971 0.0471980029 1.3148579411
 Market - Rf Residual Plot
0.1
0.05

Residuals
0
-10.00% -5.00%-0.05
0.00% 5.00% 10.00% 15.00%

-0.1
Market - Rf

HML Residual Plot

0.1

Upper 95% Lower 95.0% Upper 95.0% 0.05

Residuals 0
0.021963248 0.0019452253 0.021963248
0.183371282 -0.369602306 0.183371282 -6.00% -4.00% -2.00% 0.00%
-0.05 2.00% 4.00% 6.00%
0.98972069 0.0888278655 0.98972069 -0.1
0.130247504 -1.059746208 0.130247504 HML
0.302134109 -0.376538846 0.302134109

MOM Line Fit Plot

15.00%
10.00%
Fund GS
Fund GS

5.00%
0.00% Predicted Fund GS
-10.00% 0.00%
-5.00% 10.00% 20.00%
-10.00%
MOM

SMB Residual Plot

0.1
0.05
Residuals

0
-6.00% -4.00% -2.00% 0.00%
-0.05 2.00% 4.00% 6.00%

-0.1
SMB
Plot Market - Rf Line Fit Plot
15.00%
10.00%
Fund GS
Fund GS

5.00%
0.00% Predicted Fund GS
0.00% 15.00%
-10.00% 0.00%
-5.00% 10.00% 20.00%
-10.00%
Market - Rf

MOM Residual Plot

0.1
0.05
Residuals

0
4.00% 6.00% -10.00% -5.00%-0.05
0.00% 5.00% 10.00% 15.00%

-0.1
MOM

HML Line Fit Plot

15.00%
10.00%
nd GS Fund GS
Fund GS

5.00%
edicted Fund GS 0.00% Predicted Fund GS
-5.00% 0.00%
-5.00% 5.00% 10.00%
-10.00%
HML

SMB Line Fit Plot

15.00%
10.00%
Fund GS
Fund GS

5.00%
0.00% Predicted Fund GS
4.00% 6.00%
-5.00% -5.00%0.00% 5.00%
-10.00%
SMB
Q1 Risk free Fund GS S&P500 Active Return (Rp - Rb)
Annual Average Return 0.03% 12.89% 9.57% 3.32%
Annual risk (standard deviation) 0.000 0.134 0.121 0.062

Q2
CAPM Beta of Fund GS 0.98
Expected Return Fund GS 12.89%
Expected Return S&P500 9.57%
Expected Risk free return 0.03%
Expected Active Return 12.58% = βp*(E(Rb) - E(Rf))

Total Active Return 3.32%

Exceptional Active Return -9.27%

Q3
FACTOR>>> Market - Rf SMB HML MOM
Regression coefficient (4 factor) -0.093 0.539 -0.465 -0.037
Annual Average Return 9.86% -2.56% -2.18% 4.56%
Annual Standard Deviation of factor 0.123 0.074 0.061 0.108

Average return due to individual factor -0.92% -1.38% 1.01% -0.17% = coeff * annual_return
Average risk due to individual factor 0.011 0.040 0.028 0.004 = SQRT(coeff^2 * std_dev^2

Q4
Exceptional Active Return -9.27%
Average Return due to (Market - Rf) factor -0.92%
Average Return due to (SMB) factor -1.38%
Average Return due to (HML) factor 1.01%
Average Return due to (MOM) factor -0.17%

Asset Specific Return -7.81% = Exceptional Active Return - sum of all average returns due to

Q5
Factor Sensitivity - Regression coefficients
0.600

0.400

0.200

0.000
Market - Rf SMB HML MOM
-0.200

-0.400

-0.600
0.000
Market - Rf SMB HML MOM
-0.200

-0.400

-0.600
turn (Rp - Rb)

= coeff * annual_return
= SQRT(coeff^2 * std_dev^2)

um of all average returns due to individual factors