The output below is generated from regressing Fund A's excess returns on market's excess returns (S&P...
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The output below is generated from regressing Fund A's excess returns on market's excess returns (S&P 500). Intercept Estimate SE Adj R-sq t Stat -0.0098 0.0077 -1.2767 0.2068 Market index 1.3258 0.2157 6.1451 0.0000 0.3839 P-value Observations 60 How did Fund A perform relative to the market on a risk-adjusted basis? (assuming CAPM is true) How well does CAPM explain the returns on Fund A? The output below is generated from regressing Fund A's excess returns on market's excess returns (S&P 500). Intercept Estimate SE Adj R-sq t Stat -0.0098 0.0077 -1.2767 0.2068 Market index 1.3258 0.2157 6.1451 0.0000 0.3839 P-value Observations 60 How did Fund A perform relative to the market on a risk-adjusted basis? (assuming CAPM is true) How well does CAPM explain the returns on Fund A?
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Related Book For
Quantitative Investment Analysis
ISBN: 978-1119104223
3rd edition
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
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