Hi there experts,
I received splendid help last time (thanks Nick Cox + Joseph Coveney) and was wondering regarding a regression I am trying to run on funds, before/after fees. I adjusted my data universe in Stata in accordance with below:
Now I am trying to regress the funds upon a market premium to test a model called CAPM within finance, trying to find pricing errors (alpha.) This market risk premium is on a monthly basis. My question is how I am to conduct this regression on both an equally- and value weighted level in relation to the fund sizes. The output should look something in accordance to the below illustration (arbitrary numbers.)
Thanks in advance! ![]( "Smile")
I received splendid help last time (thanks Nick Cox + Joseph Coveney) and was wondering regarding a regression I am trying to run on funds, before/after fees. I adjusted my data universe in Stata in accordance with below:
| Date | Fund Name | Fund Return Net | Fund Return Gross | Fund Size | Market risk premium |
| 2001-01-31 | Fund 1 | 4,2 | 4,32617 | 19716488006,0 | X |
| 2001-01-31 | Fund 2 | 5,7 | 5,81227 | 194165768,0 | X |
| 2001-01-31 | Fund 3 | 3,4 | 3,55422 | 422431153,0 | X |
| 2001-02-28 | Fund 1 | -5,3 | -5,1255 | 19284833552,0 | Z |
| 2001-02-28 | Fund 2 | -13,3 | -13,12707 | 198439370,0 | Z |
| 2001-02-28 | Fund 3 | -4,7 | -4,56866 | 421806529,0 | Z |
| 2001-03-31 | Fund 1 | -10,8 | -10,64289 | 20171831942,0 | Y |
| 2001-03-31 | Fund 2 | -13,1 | -12,99907 | 204030245,0 | Y |
| 2001-03-31 | Fund 3 | -12,0 | -11,86222 | 444887777,0 | Y |
| 2001-04-30 | Fund 1 | 10,0 | 10,17476 | 20557372063,0 | M |
| 2001-04-30 | Fund 2 | 12,2 | 12,35831 | 209740158,0 | M |
| 2001-04-30 | Fund 3 | 10,7 | 10,81611 | 307815552,0 | M |
| 2001-05-31 | Fund 1 | 2,6 | 2,70044 | 19919384588,0 | N |
| 2001-05-31 | Fund 2 | -1,3 | -1,14742 | 200211325,0 | N |
| 2001-05-31 | Fund 3 | 2,5 | 2,66869 | 299116102,0 | N |
| 2001-06-30 | Fund 1 | -3,6 | -3,47347 | 20634754178,0 | P |
| 2001-06-30 | Fund 2 | -5,1 | -4,99922 | 212068898,0 | P |
| 2001-06-30 | Fund 3 | -3,7 | -3,56978 | 316508935,0 | P |
Now I am trying to regress the funds upon a market premium to test a model called CAPM within finance, trying to find pricing errors (alpha.) This market risk premium is on a monthly basis. My question is how I am to conduct this regression on both an equally- and value weighted level in relation to the fund sizes. The output should look something in accordance to the below illustration (arbitrary numbers.)
| αlpha | βm | ||
| Net | Gross | ||
| Equally Weighted Returns | -1,15 | 0,22 | 1,02 |
| Value Weighted Returns | -1,13 | -0,19 | 0,99 |
