The SPY ETF is designed to track the S\&P 500 Index. Obtain the unadjusted monthly closing prices of SPY and the corresponding monthly closes of the S\&P 500 Index for the year 2017. Note that we should use either the adjusted closes of SPY and the S\&P 500 Total Return as in Figure 1.14 or the unadjusted prices of SPY and the S\&P 500 Index itself. Plot the prices and perform a regression analysis of the SPY closes on the S\&P 500.

Interpret your results.

Figure 1.14:

Monthly Deficit (Percent) 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 S&P500 Total Return Minus SPY (Scaled) 1995 2000 2005 2010 2015 January 1993 to September 2017