Question: Upon estimating Index Model for an actively managed fund ABC in Excel, you see the following regression output. Standard Error = 0.045 Intercept = 0.01

Upon estimating Index Model for an actively managed fund ABC in Excel, you see the following regression output.

Standard Error = 0.045

Intercept = 0.01 (t-statistic 0.34)

X1 Variable = 0.85 (t-statistic 5.18)

Which of the following coefficient estimates are shown to be statistically significant at the 95% confidence level?

a.

Both Alpha and Beta

b.

Beta

c.

Neither Alpha nor Beta

d.

Alpha

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

Standard Error = 0.452

Intercept = 0.23 (p-value 0.02)

X Variable = 0.94 (p-value 0.00001)

You are given sufficient information to calculate which of the following?

a.

Treynor measure

b.

-M2 measure

c.

Information ratio

d.

Sharpe ratio

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