An investor wishes to know the performance and risk measures of an investment portfolio by running an OLS regression of excess portfolio returns against excess benchmark (BM) returns. Excess returns are returns above the risk free rate of return. The result of the regression are presented below: SUMMARY OUTPUT Regression Statistics Multiple R 0.99 R Square 0.98 Adjusted R Square 0.98 Standard Error 1.17 Observations 126 ANOVA df SS MS F Sig. F Regression 1.00 6966.60 6966.60 5083.97 0.00 Residual 124.00 169.92 1.37 Total 125.00 7136.52 Coefficients Std. Error t-stat P-value Intercept -0.09 0.11 -0.78 0.44 BM - rf 1.12 0.02 71.30 0.00 : The Jensen's Alpha is ; and the The Tracking Error of the fund is Information Ratio is Coefficients Std. Error t-stat P-value Intercept -0.09 0.11 -0.78 0.44 BM - rf 1.12 0.02 71.30 0.00 ; The Jensen's Alpha is and the The Tracking Error of the fund is Information Ratio is O 0.44; 0.02; 5.463 1.12; -0.09; -13.187 -0.09; 1.17,-0.077 01.12; 0.98; 1.141 O 0.44;0.11; 0.361 An investor wishes to know the performance and risk measures of an investment portfolio by running an OLS regression of excess portfolio returns against excess benchmark (BM) returns. Excess returns are returns above the risk free rate of return. The result of the regression are presented below: SUMMARY OUTPUT Regression Statistics Multiple R 0.99 R Square 0.98 Adjusted R Square 0.98 Standard Error 1.17 Observations 126 ANOVA df SS MS F Sig. F Regression 1.00 6966.60 6966.60 5083.97 0.00 Residual 124.00 169.92 1.37 Total 125.00 7136.52 Coefficients Std. Error t-stat P-value Intercept -0.09 0.11 -0.78 0.44 BM - rf 1.12 0.02 71.30 0.00 : The Jensen's Alpha is ; and the The Tracking Error of the fund is Information Ratio is Coefficients Std. Error t-stat P-value Intercept -0.09 0.11 -0.78 0.44 BM - rf 1.12 0.02 71.30 0.00 ; The Jensen's Alpha is and the The Tracking Error of the fund is Information Ratio is O 0.44; 0.02; 5.463 1.12; -0.09; -13.187 -0.09; 1.17,-0.077 01.12; 0.98; 1.141 O 0.44;0.11; 0.361