Question: Problem 1 Based on the following output from Index Model regression for fund XYZ, please answer the following questions. SUMMARY OUTPUT Regression Statistics Multiple R

Problem 1

Based on the following output from Index Model regression for fund XYZ, please answer the following questions.

SUMMARY OUTPUT

Regression Statistics

Multiple R

0.746138

R Square

0.556721

Adjusted R Square

0.550965

Standard Error

0.444253

Observations

79

ANOVA

df

SS

MS

F

Regression

1

19.08587

19.08587

96.70565

Residual

77

15.19675

0.19736

Total

78

34.28261

Coefficients

Standard Error

t Stat

P-value

Intercept

0.105273

0.05001

2.105054

0.038548

X Variable 1

0.797819

0.081129

9.833903

3E-15

  1. Is the funds alpha statistically significant at 95% confidence level?

  1. If the market index goes up by 1%, how much will the fund move, on average?

  1. Find information ratio of the fund

  1. Are you provided enough information to find Sharpe ratio of the fund?

  1. Are you provided enough information to find Treynor measure of the fund?

  1. Are you provided enough information to detect whether the fund manager is engaged in market timing?

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