Problem 1

Based on the following output from Index Model regression for fund XYZ, please answer the following questions.

SUMMARY OUTPUT
Regression Statistics
Multiple R	0.746138
R Square	0.556721
Adjusted R Square	0.550965
Standard Error	0.444253
Observations	79
ANOVA
	df	SS	MS	F
Regression	1	19.08587	19.08587	96.70565
Residual	77	15.19675	0.19736
Total	78	34.28261
	Coefficients	Standard Error	t Stat	P-value
Intercept	0.105273	0.05001	2.105054	0.038548
X Variable 1	0.797819	0.081129	9.833903	3E-15

1. Is the funds alpha statistically significant at 95% confidence level?

2. If the market index goes up by 1%, how much will the fund move, on average?

3. Find information ratio of the fund

4. Are you provided enough information to find Sharpe ratio of the fund?

5. Are you provided enough information to find Treynor measure of the fund?

6. Are you provided enough information to detect whether the fund manager is engaged in market timing?