Study five ETFs with the Fama-French Three-Factor Model.
– Data is attached here, including excess returns of the ETFs as well as the performance of the factor
portfolios, e.g., SMB and HML.
– Run regressions to find the factor loadings, that is, the sensitivity or exposure of these ETFs to these nondiversifiable risks.
– Create a Word document in which you:
rank the ETFs for each factor from high to low,
include a brief research about the objective of the fund, and
a discussion if your results from Fama-French confirm this objective