This a University group project made for the Finance Course. R was used for the statistical analysis and Python for the Data Visualization.
This report aims to analyze a set of ten portfolios composed of unknown UK stocks applying the Fama&French&Carhart 4 factor model to study the analogies and the differences. We have been provided with monthly data from October 1980 to December 2010 containing:
- The returns of the ten UK portfolios. Stocks have been assigned to portfolios based on their market capitalization, from the smallest to the largest;
- The four risk factors of the Fama&French&Carhart model (SMB, HML, UMD, and RMRF);
- The risk-free return.