Question
What factors drive your portfolio returns? What is the ? Did the portfolio outperform or underperform? What is the loading on the market risk factor?
-
What factors drive your portfolio returns? What is the ? Did the portfolio outperform or underperform? What is the loading on the market risk factor? Does the portfolio have higher or lower risk compared to market?
| SUMMARY OUTPUT | ||||||||
| Regression Statistics | ||||||||
| Multiple R | 0.173817639 | |||||||
| R Square | 0.030212572 | |||||||
| Adjusted R Square | 0.009578796 | |||||||
| Standard Error | 105.9985121 | |||||||
| Observations | 145 | |||||||
| ANOVA | ||||||||
| df | SS | MS | F | Significance F | ||||
| Regression | 3 | 49354.84508 | 16451.61503 | 1.464228986 | 0.226927718 | |||
| Residual | 141 | 1584231.524 | 11235.68457 | |||||
| Total | 144 | 1633586.369 | ||||||
| Coefficients | Standard Error | t Stat | P-value | Lower 95% | Upper 95% | Lower 95.0% | Upper 95.0% | |
| Intercept | 14.10672155 | 9.019958112 | 1.563945351 | 0.120072036 | -3.725117666 | 31.93856077 | -3.725117666 | 31.93856077 |
| Mkt-RF | 3.803411824 | 2.198113321 | 1.730307436 | 0.085763312 | -0.542107615 | 8.148931263 | -0.542107615 | 8.148931263 |
| SMB | -5.413061104 | 4.024056955 | -1.345175072 | 0.180728207 | -13.36834601 | 2.542223803 | -13.36834601 | 2.542223803 |
| HML | -2.807705224 | 3.358635251 | -0.835966104 | 0.404588389 | -9.44749701 | 3.832086562 | -9.44749701 | 3.832086562 |
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
Essentials Of Corporate Financial Management
Authors: Glen Arnold
1st Edition
1405847042, 978-1405847049
