| 1.50% |
| AFI | ASX300 | AFI | ASX300 | residual (epsilon) |
| Price | Dividend | Return | 1+R | Return | 1+R | Risk-free rate | Excess Returns (r-rf, rm-rf) | (r-rf) - (rm-rf) | (regression) | 1+Excess rtn of AFI | 1+Excess rtn of ASX |
| Aug-17 | 5.75 | r-rf (dep, y) | rm-rf (Ind, x) |
| Sep-17 | 5.73 | -0.35% | 99.65% | 0.04% | 100.04% | 0.125% | Sep-17 | -0.47% | -0.09% | -0.38% | -0.33% | 99.5272% | 99.91% |
| Oct-17 | 5.95 | 3.84% | 103.84% | 4.02% | 104.02% | 0.125% | Oct-17 | 3.71% | 3.89% | -0.18% | 0.13% | 103.7144% | 103.89% |
| Nov-17 | 6.03 | 1.34% | 101.34% | 1.69% | 101.69% | 0.125% | Nov-17 | 1.22% | 1.57% | -0.35% | -0.19% | 101.2195% | 101.57% |
| Dec-17 | 6.15 | 1.99% | 101.99% | 1.86% | 101.86% | 0.125% | Dec-17 | 1.87% | 1.73% | 0.13% | 0.30% | 101.8650% | 101.73% |
| Jan-18 | 6.13 | -0.33% | 99.67% | -0.39% | 99.61% | 0.125% | Jan-18 | -0.45% | -0.52% | 0.07% | 0.10% | 99.5498% | 99.48% |
| Feb-18 | 6.03 | 0.1 | 0.00% | 100.00% | 0.34% | 100.34% | 0.125% | Feb-18 | -0.13% | 0.21% | -0.34% | -0.26% | 99.8750% | 100.21% |
| Mar-18 | 5.83 | -3.32% | 96.68% | -3.73% | 96.27% | 0.125% | Mar-18 | -3.44% | -3.85% | 0.41% | 0.23% | 96.5583% | 96.15% |
| Apr-18 | 6.02 | 3.26% | 103.26% | 3.78% | 103.78% | 0.125% | Apr-18 | 3.13% | 3.65% | -0.52% | -0.22% | 103.1340% | 103.65% |
| May-18 | 6.07 | 0.83% | 100.83% | 1.19% | 101.19% | 0.125% | May-18 | 0.71% | 1.07% | -0.36% | -0.23% | 100.7056% | 101.07% |
| Jun-18 | 6.27 | 3.29% | 103.29% | 3.19% | 103.19% | 0.125% | Jun-18 | 3.17% | 3.06% | 0.11% | 0.36% | 103.1699% | 103.06% |
| Jul-18 | 6.34 | 1.12% | 101.12% | 1.31% | 101.31% | 0.125% | Jul-18 | 0.99% | 1.18% | -0.19% | -0.05% | 100.9914% | 101.18% |
| Aug-18 | 6.29 | 0.14 | 1.42% | 101.42% | 1.40% | 101.40% | 0.125% | Aug-18 | 1.29% | 1.28% | 0.02% | 0.16% | 101.2946% | 101.28% |
| AIF | ASX300 |
| 12 mth cumulative excess Rtn | 12.0% | 13.7% |
| Std Dev (ann) | 6.84% | 7.25% | Std Dev (ann) | 6.84% | 7.25% |
| Arithmetic | 13.10% | 14.69% |
| Geometric | 12.891% | 14.452% | Sharpe | 1.76 | 1.90 |
| M2 | -1.03% |
| I | Total variance= | 0.0003895881 | Treynor | 0.128 | 0.137 |
| II | Residual variance = | 0.0000058764 | T2 | -1.03% |
| III | System risk variance = | 0.0003837117 |
| IV: | difference (I-II-III)= | 0 | Alpha (industry) | -1.74% |
| Beta | 0.94 | 1.0 |
| Tracking Error (industry) | 0.96% |
| Information Ratio | -1.82 |
| Alpha (Regression) | -0.06% | monthly | SUMMARY OUTPUT |
| -0.7% | annual |
| Beta | 0.94 | 1.00 | Regression Statistics |
| Tracking Error (academic) | 0.84% | annual | Multiple R | 0.9924295352 |
| Information Ratio | - 0.89 | R Square | 0.9849163824 |
| Adjusted R Square | 0.9834080206 |
| R-squared = | 98.49% | Standard Error | 0.0025424472 |
| Observations | 12 |
| ANOVA |
| df | SS | MS | F | Significance F |
| Regression | 1 | 0.0042208289 | 0.0042208289 | 652.9709310757 | 0.0000000002 |
| Residual | 10 | 0.0000646404 | 0.000006464 |
| Total | 11 | 0.0042854693 |
| Coefficients | Standard Error | t Stat | P-value | Lower 95% | Upper 95% | Lower 95.0% | Upper 95.0% |
| Intercept (alpha) | -0.0006238057 | 0.0008372369 | -0.7450766939 | 0.4733730142 | -0.0024892857 | 0.0012416743 | -0.0024892857 | 0.0012416743 |
| rm-rf (Ind) | 0.9363602035 | 0.0366434219 | 25.5532958946 | 0.0000000002 | 0.8547135714 | 1.0180068356 | 0.8547135714 | 1.0180068356 |
| t-value = | coefficient/standard error |
alnnrye
SolutionstoLecture9Examples.xlsx
