Question: Using the Bloomberg HRA regression screen estimate the relation between a narrow-based index (e.g., a sector index) and broad-based index (e.g., S&P 500, SPX). Load

Using the Bloomberg HRA regression screen estimate the relation between a narrow-based index (e.g., a sector index) and broad-based index (e.g., S\&P 500, SPX). Load your selected sector spot index (e.g., IXPA for S\&P 500 Technology index), and then go to the HRA screen for the regression. On the HRA screen, enter the broad-based index as the independent variable in the amber box (e.g., SPX Index) and select the time period and periodicity (daily).

a. Comment on the regression results and the relation (beta).

b. Explain how you would form bullish and bearish intercommodity spreads with the futures contracts on the underlying indexes.

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