The results of the estimated CAPM and multifactor models for the returns of the GLCGX fund (Large Cap Growth) are given below. What is the implication of the intercept coefficient in each model?
lm(r_glcgx~rm)
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.007049 0.002898 -2.432 0.0181 *
rm 1.167201 0.058906 19.815 <2e-16 ***
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Signif. codes: 0 β***β 0.001 β**β 0.01 β*β 0.05 β.β 0.1 β β 1
Residual standard error: 0.02243 on 58 degrees of freedom
Multiple R-squared: 0.8713, Adjusted R-squared: 0.8691
F-statistic: 392.6 on 1 and 58 DF, p-value: < 2.2e-16
lm(r_glcgx~rm+hml+smb+mom)
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0009467 0.0024567 0.385 0.701
rm 1.0075831 0.0498170 20.226 < 2e-16 ***
hml -0.4832266 0.0672459 -7.186 1.87e-09 ***
smb -0.2584757 0.0522464 -4.947 7.47e-06 ***
mom -0.0018580 0.0313426 -0.059 0.953
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Signif. codes: 0 β***β 0.001 β**β 0.01 β*β 0.05 β.β 0.1 β β 1
Residual standard error: 0.01643 on 55 degrees of freedom
Multiple R-squared: 0.9345, Adjusted R-squared: 0.9297
F-statistic: 196.2 on 4 and 55 DF, p-value: < 2.2e-16
based on the benchmark CAPM model GLCGX fund underperformed. Based on Fama-French multifactor model it outperformed.
based on the benchmark CAPM model GLCGX fund underperformed. Based on Fama-French multifactor model it performed as expected.
based on both CAPM and Fama-French multifactor models GLCGX fund underperformed.
