Use the following simulated data sets:
Fin 402 Simulated 12 Industry Portfolio
Fin 402 Simulated Fama-French 3 Factors
Select 2 industry portfolios of your choice and download 36 months of data, and download a market index (S&P 500 or Wilshire 5000) from finance.yahoo.com or a similar site.
Compare each industry portfolio’s performance to that of the market index (based on the Sharpe, Jensen, Treynor measures as well as the information ratio. Plot the monthly values of alpha plus residual return.