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8/11/2019 Beta Management CAse Study - Sarah Jane
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SUMMARY OUTPUT
Regression Statistics
Multiple R 0.07353166
R Square 0.005406905
Adjusted R Square -0.039801872
Standard Error 0.094126439
Observations 24
ANOVA
df SS MS F
Regression 1 0.001059618 0.001059618 0.119598569
Residual 22 0.194915302 0.008859786
Total 23 0.19597492
Coefficients Standard Error t Stat P-valueIntercept -0.024278716 0.019779398 -1.227474962 0.232616969
X Variable 1 0.1474 0.426080217 0.345830261 0.732755502
RESIDUAL OUTPUT
Observation Predicted Y Residuals Standard Residuals
1 -0.013492591 -0.269107409 -2.923254352
2 -0.027918297 -0.002381703 -0.0258719183 -0.020948574 0.108448574 1.178052908
4 -0.016645912 0.001945912 0.021138012
5 -0.018325718 0.003425718 0.037212822
6 -0.02514809 -0.06575191 -0.714248482
7 -0.011002352 0.117702352 1.278574659
8 -0.02153798 -0.07226202 -0.78496637
9 -0.024868122 0.128268122 1.393348283
10 -0.02772674 -0.11607326 -1.260878193
11 -0.021272747 -0.126827253 -1.377696442
12 -0.020771752 -0.022728248 -0.246891938
13 -0.034180732 -0.020319268 -0.220723716
14 -0.022407353 0.072407353 0.786545086
15 -0.020432844 0.115632844 1.256094047
16 -0.027962502 0.019262502 0.209244306
17 -0.010000362 0.010000362 0.108631728
18 -0.025295441 0.070795441 0.769035243
19 -0.024750241 0.059550241 0.646881115
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20 -0.037584551 0.037584551 0.408272673
21 -0.031484201 -0.098915799 -1.074500478
22 -0.024882857 0.024882857 0.270296982
23 -0.014789284 0.029789284 0.323594413
24 -0.020270757 -0.005329243 -0.057890387
8/11/2019 Beta Management CAse Study - Sarah Jane
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Significance F
0.732755502
Lower 95% Upper 95% Lower 95.0% Upper 95.0%-0.065298678 0.016741245 -0.065298678 0.016741245
-0.736284855 1.03098772 -0.736284855 1.03098772
8/11/2019 Beta Management CAse Study - Sarah Jane
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SUMMARY OUTPUT
Regression Statistics
Multiple R 0.65617
R Square 0.430559
Adjusted R 0.404675
Standard E 0.063013
Observatio 24
ANOVA
df SS MS F gnificance F
Regression 1 0.066048 0.066048 16.63436 0.000498
Residual 22 0.087353 0.003971
Total 23 0.153401
Coefficientsandard Err t Stat P-value Lower 95% Upper 95% ower 95.0 pper 95.0Intercept -0.01954 0.013241 -1.47557 0.154228 -0.047 0.007922 -0.047 0.007922
X Variable 1.16335 0.285238 4.078525 0.000498 0.571803 1.754897 0.571803 1.754897
RESIDUAL OUTPUT
bservatio Predicted Y Residuals dard Residuals
1 0.065619 0.025981 0.421585
2 -0.04827 0.055573 0.9017593 0.006753 -0.00965 -0.15664
4 0.040723 -0.01862 -0.30219
5 0.027461 -0.03826 -0.62084
6 -0.0264 0.019902 0.322943
7 0.085279 -0.06308 -1.02356
8 0.0021 -0.0021 -0.03407
9 -0.02419 0.042992 0.697607
10 -0.04676 -0.02874 -0.46634
11 0.004194 -0.13259 -2.15154
12 0.008149 -0.02515 -0.40809
13 -0.09772 -0.05438 -0.88247
14 -0.00476 0.080864 1.312139
15 0.010825 0.000275 0.004462
16 -0.04862 0.043522 0.706213
17 0.09319 0.03391 0.550239
18 -0.02757 0.060766 0.986013
19 -0.02326 0.054961 0.891828
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20 -0.12459 -0.02261 -0.3669
21 -0.07643 0.057326 0.930205
22 -0.02431 -0.10069 -1.63388
23 0.055381 0.117219 1.902051
24 0.012105 -0.0974 -1.58054
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-0.2
-0.1
0
0.1
0.2
-10.00% -5.00% 0.00% 5.00% 10.00% 15.00%Residuals
X Variable 1
X Variable 1 Residual Plot
-20.00%
-10.00%
0.00%
10.00%
20.00%
-10.00% -5.00% 0.00% 5.00% 10.00% 15.00%
Y
X Variable 1
X Variable 1 Line Fit Plot
Y
Predicted Y
8/11/2019 Beta Management CAse Study - Sarah Jane
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Vanguard California Brown Group
Jan-89 7.32% -28.26% 9.16% Calculating Standard Deviation
Feb -2.47% -3.03% 0.73%
Mar 2.26% 8.75% -0.29%
April 5.18% -1.47% 2.21%
May 4.04% -1.49% -1.08%
Keeping VANGUARD
as base calculating COVariance
June -0.59% -9.09% -0.65%
July 9.01% 10.67% 2.22%
August 1.86% -9.38% 0.00%
Sep -0.40% 10.34% 1.88%
Oct -2.34% -14.38% -7.55%
Nov 2.04% -14.81% -12.84% Portfolio Variability
Dec 2.38% -4.35% -1.70%
Jan-90 -6.72% -5.45% -15.21% Vanguard
Feb 1.27% 5.00% 7.61% California
Mar 2.61% 9.52% 1.11% Brown Group
April -2.50% -0.87% -0.51% Variability
May 9.69% 0.00% 12.71%
June -0.69% 4.55% 3.32%
July -0.32% 3.48% 3.17% Beta
August -9.03% 0.00% -14.72% California
Sep -4.89% -13.04% -1.91% Brown GroupOct -0.41% 0.00% -12.50%
Nov 6.44% 1.50% 17.26%
Dec 2.72% -2.56% -8.53%
8/11/2019 Beta Management CAse Study - Sarah Jane
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Vanguard California Brown Group
4.61% 9.23% 8.17%
Stock California Brown Group
Covariance
( Vanguard, "stock") 0.0003 0.0024
99% 99%
1%
1%
4.57% 4.61%
0.1474
1.1633