Beta Management CAse Study - Sarah Jane

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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

  • 8/11/2019 Beta Management CAse Study - Sarah Jane

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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

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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

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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%

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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