please use excel and provide detailed data and analysis.Problem 3: Go to Ken French’s data library (google it) and get the following data: Monthlyreturns, from 196307 to present, to 1) the three Fama-French factors and T-bills (link:Fama/French Factors), 2) the momentum factor, and 3) the 6 portfolios formed on sizeand book-to-market (2×3).a) What is the mean-variance efficient portfolio of the three Fama-French factors(MKT, SMB and HML) and the momentum factor (MOM) over the sample? Whatis the portfolio’s Sharpe ratio?b) What is the mean-variance efficient portfolio of the four “corner portfolios” fromthe 2×3 sort on size and book-to-market (i.e., small value, small growth, largevalue, large growth)? Please provide some intuition for the weights.Problem 4:a) What are the average excess returns to the six portfolios sorted on size and book to-market?b) What are the six portfolios’ market loadings and abnormal returns (“alphas,” withtest-statistics) from a CAPM type regression employing the excess market returnsas the explanatory factor (MKT).1c) Repeat part b) employing all three Fama-French factors as explanatory variables.
