Stock X

Market

Stock Y

Market

0.11

0.13

0.14

0.13

SUMMARY OUTPUT

0.19

0.1

0.07

0.1

-0.16

-0.12

-0.05

-0.12

Regression Statistics

0.03

0.01

0.01

0.01

Multiple R

0.854

Beta

0.2

0.15

0.11

0.15

R Square

0.729

0.04

0.06

0.12

1.6

Adjusted R Square

0.699

0.03

0.05

0.11

0.14

Standard Error

0.071

-0.22

-0.02

0.15

0.11

Observations

11

0.1

0.11

-0.2

-0.06

0.08

0.09

0.02

0.01

ANOVA

0.03

-0.01

0.01

0.11

df

SS

MS

F

Significance F

0.128876262

0.07949843

0.10337927

0.47321915

Regression

1

0.121

0.121

24

8E-04

Residual

9

0.045

0.005

Total

10

0.166

Coefficients

Standard Error

t Stat

P-value

Lower 95%

Upper 95%

Lower 95.0%

Upper 95.0%

Intercept

-0.03

0.026

-1.18

0.3

-0.088

0.02761

-0.09

0.028

X

1.38449367

Beta

X Variable 1

1.384

0.281

4.925

0

0.749

2.020405

0.749

2.02

RESIDUAL OUTPUT

Y

0.08390371

Beta

Observation

Predicted Y

Residuals

1

0.15

-0.04

2

0.108

0.082

3

-0.2

0.036

4

-0.02

0.046

5

0.178

0.022

6

0.053

-0.013

7

0.039

-0.009

8

-0.06

-0.162

9

0.122

-0.022

10

0.094

-0.014

11

-0.04

0.074

SUMMARY OUTPUT

Regression Statistics

Multiple R

0.384

Beta

R Square

0.148

Adjusted R Square

0.053

Standard Error

0.101

Observations

11

ANOVA

df

SS

MS

F

Significance F

Regression

1

0.016

0.016

1.6

0.244

Residual

9

0.091

0.01

Total

10

0.107

Coefficients

Standard Error

t Stat

P-value

Lower 95%

Upper 95%

Lower 95.0%

Upper 95.0%

Intercept

0.028

0.033

0.843

0.4

-0.047

0.102871

-0.05

0.103

X Variable 1

0.084

0.067

1.248

0.2

-0.068

0.236

-0.07

0.236

Beta

RESIDUAL OUTPUT

Observation

Predicted Y

Residuals

1

0.039

0.101

2

0.036

0.034

3

0.018

-0.068

4

0.029

-0.019

5

0.041

0.069

6

0.162

-0.042

7

0.04

0.07

8

0.037

0.113

9

0.023

-0.223

* YES, beta using slope and that using stated formulae gives same result

10

0.029

-0.009

11

0.037

-0.027

B. What is Sharpe's Beta Coefficient? What does it mean, and why did Sharpe publish it?