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.

Alpha
d.

Neither Alpha nor Beta

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