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  • Covariance, Correlation, Beta, Expost, and Exante

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    YbrantSachin
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    IAPM

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    Covariance, Correlation, Beta, Expost, And Exante

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    IAPM

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    © All Rights Reserved
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    19 views6 pages

    Covariance, Correlation, Beta, Expost, and Exante

    Uploaded by

    YbrantSachin
    IAPM

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 6

    Month

    Stock
    0
    1
    2
    3
    4
    5
    6
    7
    8
    9
    10

    100
    110
    112
    115
    108
    105
    109
    114
    115
    118
    120

    Market
    10000 R-Stock
    R-Market (R-Rbar)Stock
    (R-Rbar)Market
    10020
    0.1
    0.002
    0.0807904974
    0.00164964
    10025 0.018182 0.000499
    -0.0010276844
    0.000148642
    10030 0.026786 0.000499
    0.0075762117 0.0001483931
    10040 -0.06087 0.000997
    -0.0800790678
    0.000646649
    10015 -0.027778 -0.00249
    -0.0469872804 -0.0028403998
    10005 0.038095 -0.000999
    0.0188857355 -0.0013488622
    9995 0.045872
    -0.001
    0.026662057 -0.0013498602
    10013 0.008772 0.001801
    -0.0104375728 0.0014505405
    10022 0.026087 0.000899
    0.0068774539 0.0005484715
    10035 0.016949 0.001297
    -0.0022603501 0.0009467863
    Mean
    SD

    0.01921 0.00035
    0.04054 0.001349

    Covariance
    Cvar (formula)
    Correl
    Correl (formula)
    Beta

    Beta - Regression analysis


    SUMMARY OUTPUT
    Regression Statistics
    Multiple R 0.257766
    R Square 0.066443
    Adjusted R -0.050251
    Standard Er0.043793
    Observatio
    10
    ANOVA
    df

    SS
    MS
    1 0.001092 0.001092
    8 0.015343 0.001918
    9 0.016435

    F
    Significance F
    0.5693786672 0.4721315463

    Coefficients
    Standard Error t Stat
    0.016495 0.014308 1.152847
    7.74715 10.26695 0.754572

    P-value
    Lower 95%
    0.2822541185 -0.0164996546
    0.4721315463 -15.9284735079

    Regression
    Residual
    Total

    Intercept
    R-Market
    Prob

    R-Stock
    R-Market PR-Stock PR-Market (R-ER)Stock
    (R-ER)Market
    0.1
    0.1
    0.002
    0.01
    0.0002
    0.0807904974
    0.00164964
    0.1 0.018182 0.000499 0.001818 4.99E-005
    -0.0010276844
    0.000148642
    0.1 0.026786 0.000499 0.002679 4.99E-005
    0.0075762117 0.0001483931
    0.1 -0.06087 0.000997 -0.006087 9.97E-005
    -0.0800790678
    0.000646649

    0.1
    0.1
    0.1
    0.1
    0.1
    0.1

    -0.027778
    0.038095
    0.045872
    0.008772
    0.026087
    0.016949

    -0.00249
    -0.000999
    -0.001
    0.001801
    0.000899
    0.001297
    ER
    SD

    -0.002778
    0.00381
    0.004587
    0.000877
    0.002609
    0.001695

    -0.000249
    -1.0E-004
    -1.0E-004
    0.00018
    8.99E-005
    0.00013

    0.01921 0.00035
    0.04054 0.001349

    -0.0469872804 -0.0028403998
    0.0188857355 -0.0013488622
    0.026662057 -0.0013498602
    -0.0104375728 0.0014505405
    0.0068774539 0.0005484715
    -0.0022603501 0.0009467863
    Covar
    Beta

    (R-Rbar)Stock*(R-Rbar)Market
    0.0001332752
    -1.52757064862625E-007
    1.12425766991982E-006
    -0.000051783
    0.0001334627
    -2.54742555908843E-005
    -3.59900509476431E-005
    -1.51401215294529E-005
    3.77208759692866E-006
    -2.14006842768806E-006
    1.40953944553979E-005
    1.40953944553979E-005
    0.257766176
    0.257766176
    7.7471493186

    Upper 95%
    0.0494900774
    31.4227721452

    Lower 95.0%
    -0.0164996546
    -15.9284735079

    Upper 95.0%
    0.0494900774
    31.4227721452

    P[(R-ER)Stock*(R-ER)Market]
    (R-ER)S^2
    P[(R-ER)S^2]
    (R-ER)M^2
    1.33275236143742E-005
    0.0065271045
    0.0006527104 2.721312E-006
    -1.52757064862624E-008 1.05613528E-006 1.0561353E-007 2.209444E-008
    1.12425766991982E-007
    0.000057399 5.7398983E-006
    0.000000022
    -5.17830470024578E-006
    0.0064126571
    0.0006412657 4.181549E-007

    1.33462663706377E-005
    0.0022078045
    0.0002207805
    -2.54742555908843E-006
    0.000356671 3.5667100E-005
    -0.000003599
    0.0007108653 7.1086528E-005
    -0.000001514
    0.0001089429 1.0894293E-005
    3.77208759692867E-007 4.72993723E-005 4.7299372E-006
    -0.000000214 5.10918242E-006 5.1091824E-007
    1.40953944553979E-005 Var
    7.7471493186

    0.0016434909

    8.067871E-006
    1.819429E-006
    1.822123E-006
    2.104068E-006
    3.008210E-007
    8.964043E-007

    P[(R-ER)M^2]
    2.721312E-007
    2.209444E-009
    2.202052E-009
    4.181549E-008

    8.067871E-007
    1.819429E-007
    1.822123E-007
    2.104068E-007
    3.008210E-008
    8.964043E-008
    1.819430E-006

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