mao(1)(1)

mao(1)(1) - SUMMARY OUTPUT Regression Statistics Multiple R...

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Unformatted text preview: SUMMARY OUTPUT Regression Statistics Multiple R 0.6224082947 R Square 0.3873920853 Adjusted R Square 0.3841678331 Standard Error 0.0751569927 Observations 192 ANOVA df SS MS F Significance F Regression 1 0.6786729336 0.6786729336 120.149437239 5.5815757E-022 Residual 190 1.073228975 0.0056485736 Total 191 1.7519019086 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% Intercept 0.0033257507 0.0054469107 0.6105755788 0.5422102621-0.007418434 0.0140699353-0.007418434 0.0140699353 X Variable 1 1.3034922969 0.1189180006 10.9612698735 5.581576E-022 1.0689231947 1.5380613992 1.0689231947 1.5380613992 SUMMARY OUTPUT Regression Statistics Multiple R 0.1238368744 R Square 0.0153355715 Adjusted R Square 0.0101531271 Standard Error 0.1421474639 Observations 192 ANOVA df SS MS F Significance F Regression 1 0.0597920642 0.0597920642 2.9591386585 0.0870215958 Residual 190 3.8391212836 0.0202059015 Total 191 3.8989133479 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% Intercept 0.0074119441 0.0103019628 0.7194691175 0.4727359382-0.0129089674 0.0277328556-0.0129089674 0.0277328556 X Variable 1 0.386901112 0.2249144302 1.7202147129 0.0870215958-0.0567489303 0.8305511543-0.0567489303 0.8305511543 SPY HON TLF SPY HON TLF MKT Risk Premium Date Adj Close Adj Close Adj Close HPR HPR HPR MONTHLY T-BILL SPY HON TLF Portfolio A Returns Portfolio B Returns CAPM 6/1/2011 131.29 59.16 5.13-0.0168 0.0007 0.0364 0.0002-0.0170 0.0005 0.0362-0.0152-0.0117 0.0008 0.0142 5/2/2011 133.54 59.12 4.95-0.0113-0.0218 0.0691 0.0002-0.0114-0.0220 0.0690-0.0125-0.0034-0.0285 0.0268 4/1/2011 135.06 60.44 4.63 0.0290 0.0254-0.0684 0.0002 0.0287 0.0252-0.0686 0.0284 0.0190 0.0331-0.0263 3/1/2011 131.26 58.94 4.97 0.0002 0.0310 0.0184 0.0002-0.0001 0.0307 0.0182 0.0030 0.0018 0.0403 0.0073 2/1/2011 131.24 57.17 4.88 0.0347 0.0400-0.0524 0.0002 0.0344 0.0398-0.0527 0.0350 0.0257 0.0521-0.0201 1/3/2011 126.84 54.97 5.15 0.0233 0.0537 0.0911 0.0002 0.0231 0.0534 0.0909 0.0261 0.0299 0.0699 0.0354 12/1/2010 123.95 52.17 4.72 0.0669 0.0693 0.0703 0.0002 0.0666 0.0690 0.0701 0.0669 0.0670 0.0902 0.0273 11/1/2010 116.18 48.79 4.41 0.0000 0.0618-0.0134 0.0002-0.0002 0.0616-0.0136 0.0060-0.0016 0.0805-0.0051 10/1/2010 116.18 45.95 4.47 0.0382 0.0723 0.0045 0.0002 0.0380 0.0722 0.0043 0.0414 0.0346 0.0942 0.0019 9/1/2010 111.91 42.85 4.45 0.0896 0.1250 0.0471 0.0002 0.0894 0.1248 0.0468 0.0929 0.0851 0.1628 0.0183 8/2/2010 102.71 38.09 4.25-0.0449-0.0822-0.0275 0.0002-0.0451-0.0824-0.0277-0.0489-0.0434-0.1072-0.0105 7/1/2010 107.54 41.5 4.37 0.0682 0.0982 0.0556 0.0002 0.0680 0.0979 0.0553 0.0710 0.0667 0.1279 0.0216 6/1/2010 100.67 37.79 4.14-0.0517-0.0876-0.0901 0.0003-0.0520-0.0879-0.0904-0.0556-0.0558-0.1143-0.0347 5/3/2010 106.16 41.42 4.55-0.0794-0.0929 0.1607 0.0003-0.0797-0.0932 0.1604-0.0811-0.0557-0.1211 0.0624 4/1/2010 115.32 45.66 3.92 0.0154 0.0487 0.1632 0.0004 0.0150 0.0483 0.1628 0.0184 0.0298 0.0634 0.0634 3/1/2010...
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mao(1)(1) - SUMMARY OUTPUT Regression Statistics Multiple R...

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