The document contains performance metrics for various portfolios over a 10 year period. A regression analysis was run comparing each portfolio's returns to the market returns. The results show high correlation between some portfolios and the market, with R-squared values over 0.7, while other portfolios have low correlation with R-squared under 0.15. The regressions also provide coefficients and confidence intervals for each portfolio's alpha versus the market.
The document contains performance metrics for various portfolios over a 10 year period. A regression analysis was run comparing each portfolio's returns to the market returns. The results show high correlation between some portfolios and the market, with R-squared values over 0.7, while other portfolios have low correlation with R-squared under 0.15. The regressions also provide coefficients and confidence intervals for each portfolio's alpha versus the market.
The document contains performance metrics for various portfolios over a 10 year period. A regression analysis was run comparing each portfolio's returns to the market returns. The results show high correlation between some portfolios and the market, with R-squared values over 0.7, while other portfolios have low correlation with R-squared under 0.15. The regressions also provide coefficients and confidence intervals for each portfolio's alpha versus the market.
The document contains performance metrics for various portfolios over a 10 year period. A regression analysis was run comparing each portfolio's returns to the market returns. The results show high correlation between some portfolios and the market, with R-squared values over 0.7, while other portfolios have low correlation with R-squared under 0.15. The regressions also provide coefficients and confidence intervals for each portfolio's alpha versus the market.
SUMMARY OUTPUT Regression Statistics Multiple R 0.951935 R Square 0.906181 Adjusted R 0.894453 Standard Er0.035142 Observatio 10 ANOVA df Regression Residual Total
SS MS 1 0.095423 0.095423 8 0.009879 0.001235 9 0.105303
F Significance F 77.2702 2.20E-005
Coefficients Standard Error t Stat P-value Lower 95%Upper 95% Intercept 0.013424 0.015193 0.883571 0.402699 -0.021612 0.048461 X Variable 1.046845 0.11909 8.790347 2.20E-005 0.772222 1.321468
SUMMARY OUTPUT Regression Statistics Multiple R 0.181105 R Square 0.032799 Adjusted R -0.088101 Standard Er 0.16368 Observatio 10 ANOVA df Regression Residual Total
SS MS F Significance F 1 0.007268 0.007268 0.271291 0.616572 8 0.21433 0.026791 9 0.221599
Coefficients Standard Error t Stat P-value Lower 95%Upper 95% Intercept 0.079364 0.070767 1.121486 0.294613 -0.083825 0.242554 X Variable 0.288915 0.554693 0.520856 0.616572 -0.990209 1.568039 1.121486
SUMMARY OUTPUT Regression Statistics Multiple R 0.865068 R Square 0.748343 Adjusted R 0.716885 Standard Er 0.05187 Observatio 10 ANOVA df Regression Residual Total
SS MS F Significance F 1 0.064006 0.064006 23.78925 0.001228 8 0.021524 0.002691 9 0.08553
Coefficients Standard Error t Stat P-value Lower 95%Upper 95% Intercept 0.029909 0.022426 1.33369 0.219027 -0.021805 0.081624 X Variable 0.857363 0.175782 4.877422 0.001228 0.452009 1.262717
SUMMARY OUTPUT Regression Statistics Multiple R 0.628519 R Square 0.395036 Adjusted R 0.319416 Standard Er0.086227 Observatio 10 ANOVA df Regression Residual Total
SS MS F Significance F 1 0.038841 0.038841 5.223936 0.051619 8 0.059481 0.007435 9 0.098322
Coefficients Standard Error t Stat P-value Lower 95%Upper 95% Intercept 0.046394 0.03728 1.244477 0.248546 -0.039574 0.132363 X Variable 0.66788 0.292213 2.285593 0.051619 -0.005964 1.341725
SUMMARY OUTPUT Regression Statistics Multiple R 0.372425 R Square 0.1387 Adjusted R 0.031038 Standard Er0.124373 Observatio 10 ANOVA df Regression Residual Total
SS MS F Significance F 1 0.019928 0.019928 1.288287 0.289224 8 0.12375 0.015469 9 0.143678
Coefficients Standard Error t Stat P-value Lower 95%Upper 95% Intercept 0.062879 0.053773 1.169355 0.275919 -0.061121 0.186879 X Variable 0.478398 0.421486 1.135027 0.289224 -0.49355 1.450345
