Split the sample in 3 equal periods and compute the average, SD, skew, and kurtosis for each of the six “risk factors” for the full sample and the three different periods. Arrange these values in a table similar to the one shown below (5p).
Full Sample: 1963M07 2017M12
MKT_RF
SMB
HML
RMW
CMA
MOM
Mean
Std. Dev.
Skewness
Kurtosis
Observations
Do the statistics suggest to you that returns for those risk factors come from the same distribution over the entire period? (5p)
Make a plot showing the growth of $1 in each of the six “risk factors (portfolios)” over the full sample.(Recall, this is called an “equity curve”). (5p)