Week 3 Excel solution

.xlsx
School
University of New South Wales **We aren't endorsed by this school
Course
FINS 2624 R
Subject
Statistics
Date
Sep 1, 2023
Pages
21
Uploaded by CoachEagle140 on coursehero.com
Stock A Stock B Return 16.60% 14.40% Risk free rate 6.00% Beta 1.2 0.8 R-square 0.576 0.436 Residual standard dev. σ(e) 10.30% 19.10% Standard dev. of excess returns 21.60% 24.90% Sharpe ratio 0.4907 0.3373 Treynor ratio 0.0883 0.1050 Jenson alpha 0.0100 0.0200 Information ratio 0.0971 0.1047
NAB SUMMARY OUTPUT Regression Statistics Multiple R 0.69801 R Square 0.487218 Adjusted R Squa 0.484811 Standard Error 0.043461 Observations 215 ANOVA df SS MS F ignificance F Regression 1 0.382277 0.382277 202.3814 9.98E-33 Residual 213 0.402335 0.001889 Total 214 0.784612 Coefficients tandard Erro t Stat P-value Lower 95%Upper 95% Lower 95.0% Upper 95.0% Intercept -0.003001 0.002965 -1.012045 0.312665 -0.008846 0.002844 -0.008846 0.002844 X Variable 1 1.1417 0.080254 14.22608 9.98E-33 0.983506 1.299894 0.983506 1.299894 RESIDUAL OUTPUT Observation Predicted YResiduals 1 -0.01328 0.029335 0.04336 2 -0.07088 0.016031 3 0.05685 -0.009581 4 0.009291 0.061834 5 0.029338 0.043744 6 -0.063267 -0.019841 7 -0.024393 0.045189 8 -0.088781 -0.172431 9 0.065666 0.105983 10 0.023522 0.005767 11 0.021736 -0.016576 12 0.006852 0.072125 13 -0.023568 0.053858 14 -0.007204 -0.042925 15 -0.029165 0.042225 16 0.000283 0.035907 17 -0.062471 0.036443 18 -0.054636 -0.006963 19 0.004832 0.027236 20 -0.063541 0.025183 21 0.019767 0.002448 22 -0.000595 -0.051632 23 -0.027912 -0.007023 24 -0.026718 0.0212 25 -0.069312 -0.027038 26 0.026368 0.07005 27 0.039951 -0.026796 28 -0.006146 0.02053 29 -0.001321 0.009542
30 0.027967 -0.057572 31 0.020434 -0.073368 32 -0.018415 0.005018 33 0.028579 -0.039579 34 -0.038339 -0.022238 35 0.031782 -0.001282 36 -0.017916 0.033467 37 0.022261 -0.015789 38 0.010272 -0.011549 39 -0.013094 -0.042116 40 0.011622 0.008335 41 0.015549 -0.032079 42 -0.007072 -0.109726 43 -0.002762 -0.002446 44 0.027448 -0.019608 45 0.026762 0.015489 46 0.037147 -0.049049 47 0.02605 -0.003771 48 0.007698 0.015503 49 0.009663 -0.042804 50 -0.025887 0.005288 51 -0.044068 0.067229 52 0.026458 0.044811 53 0.03828 -0.065118 54 0.021055 -0.009875 55 0.006696 -0.009402 56 0.040546 0.008896 57 -0.05383 0.047687 58 0.035683 -0.05682 59 0.022956 -0.029431 60 0.030873 0.009169 61 -0.010171 0.084965 62 0.03908 -0.01626 63 0.019948 -0.027092 64 -0.065745 -0.008434 65 0.007737 -0.010673 66 -0.028758 0.044499 67 0.020461 -0.013909 68 -0.000223 0.00554 69 0.040933 -0.006631 70 0.011535 0.009074 71 0.02943 -0.004046 72 0.011662 -0.016417 73 0.002651 -0.009378 74 0.022259 -0.026626 75 0.023113 0.034011 76 0.018019 -0.034 77 -0.016033 -0.02564 78 -0.033234 -0.039232 79 0.009464 0.025186 80 0.047643 -0.059097 81 0.022309 0.053795 82 -0.047833 -0.076241 83 -0.044096 0.024732
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