Answered step by step
Verified Expert Solution
Question
1 Approved Answer
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
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 0.44; 0.11; 0.361 -0.09; 1.17,-0.077 1.12; 0.98; 1.141 1.12; -0.09; -13.187 0.44; 0.02; 5.463
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started