The Fama-French factors and risk-free rates are available at Ken French’s Web site: www.dartmouth.edu/~kfrench. Download the monthly factors and save the most recent 60 months for each factor. The historical prices for each of the mutual funds can be found on various Web sites, including finance.yahoo.com. Find the prices of each mutual fund for the same time as the Fama–French factors and calculate the returns for each month. Be sure to include dividends. For each mutual fund, estimate the multi- factor regression equation using the Fama-French factors. How well do the regression estimates explain the variation in the return of each mutual fund?
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