Calculate the characteristic line for EG&G by letting Y be the annual returns for EG&G and X
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Calculate the characteristic line for EG&G by letting Y be the annual returns for EG&G and X be the returns for the S&P 500 Index. The summary statistics are as follows:
Transcribed Image Text:
n = 10; ΣΥ = 264.5; Στ = 19,503.65; Σχ = 84.5; Σχε = 4,660.31; ΣΧΥ = 6,995.76 Y XY SS₁ y SS x SS xy Total SS, Systematic B²SS Nonsystematic В A Y Analysis of Variance Source (Risk) = = = Σ(Y−Y)² = [Y² ²-(Typ² n Σ(x−x)² = [x² _ (Ex)² n Σ(X-X)² (Y-Y)²=EXY - SS. 12,507.625 5,743.275 6,764.350 xy SS, Sum of Squares x = 12,507.625 = 3,946.285 (ΣΧ)(ΣΥ) n = 1.206384 Y-BX=16.256 16.256 +1.206X = = 4,760.735 No. of Observations n-1=9 n-1=9 n-1=9 Variance 1,389.736 = Total Var 638.142 Systematic Var. 751.594 Nonsystematic Var.
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The characteristic line can be expressed as an equation that shows the relationship between the returns of EGG Y and the returns of the SP 500 Index X ...View the full answer
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Investments Analysis And Management
ISBN: 9781118975589
13th Edition
Authors: Charles P. Jones, Gerald R. Jensen
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