Research question modelling Fama 3- factor model

[SophPaso]

Dear all,

perhaps it is quite easy for some of you to solve, but doing research on the Fama 3-factor model is unchartered territory for me so far.

Suppose I have monthly returns for five MutualFunds, data for SMB, HML and tradedliq and only data for the excess return on the market.

First, is it possible to run the regression without having separate data for the risk free rate and the (e.g.) SP500?

If I run the regression of one mututal fund like ls mutx c exrm smb hml tradedliq I got a negative R-bar-squared? Is this possible?

All the other regression outputs for the funds seem to be ok; I have attached the output of MutualFund1 for you to check.

I'm really hoping some of you can help with me with this question.

Many thanks!

sophie

[SophPaso]

no hint from anybody? Please, I do need some input from someone who has experience with the 3-factor model.

Thank you!

[trubador]

We have no idea what the time series properties of the data are. The only thing obvious from the results is that your "factors" have very low explanatory powers.