SUMMARY OUTPUT

Regression Statistics
Multiple R 0.63009
R Square 0.397014
Adjusted R 0.386618
Standard E 0.063562
Observatio 60

ANOVA
df SS MS F Significance F
Regression 1 0.154285 0.154285 38.18797 6.878E-08
Residual 58 0.234329 0.00404
Total 59 0.388614

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
alpfa 0.003684 0.008311 0.443248 0.659235 -0.012953 0.020321 -0.012953 0.020321
beta 1.419799 0.229754 6.179641 6.878E-08 0.959896 1.879703 0.959896 1.879703

RESIDUAL OUTPUT

Observation
Predicted ZeeResiduals
1 -0.020453 0.037053
2 -0.029113 -0.103587
3 0.065729 0.039771
4 -0.068158 0.078258
5 -0.013212 -0.029388
6 -0.097832 -0.015868
7 -0.113166 0.016566
8 0.012771 0.060729
9 -0.140284 -0.013316
10 0.108039 -0.189839
11 0.088304 0.166096
12 -0.074405 -0.024695
13 -0.031243 0.070243
14 -0.020737 0.029937
15 0.01632 0.13068
16 0.118972 0.032928
17 0.091428 -0.090828
18 0.024697 0.067703
19 0.034636 0.043164
20 0.036907 -0.055507
21 -0.011366 0.021066
22 0.08731 0.07969
23 0.025123 -0.010923
24 0.066013 -0.103513
25 0.03492 -0.10682
26 0.023561 0.083739
27 -0.013354 0.007854
28 -0.032663 -0.098837
29 0.021289 0.019511
30 0.03208 -0.06568
31 -0.051404 0.007704
32 0.005246 0.014554
33 0.030802 -0.016202
34 0.027253 -0.086253
35 0.066581 0.009119
36 0.051105 -0.032705
37 -0.035219 0.046619
38 0.033358 0.044242
39 -0.022724 -0.008976
40 -0.034083 -0.040717
41 0.054655 0.011945
42 0.01774 0.01246
43 0.063599 -0.008299
44 -0.00739 -0.04911
45 0.016888 -0.067588
46 -0.02741 -0.01379
47 0.05792 0.02598
48 0.006382 -0.018182
49 0.059056 -0.008556
50 -0.001427 -0.041473
51 0.028672 0.011228
52 0.020012 -0.085912
53 -0.043169 -0.016231
54 0.000986 -0.024186
55 -0.000291 0.032891
56 0.036339 0.049261
57 0.029382 0.091318
58 0.054797 0.084503
59 0.033926 -0.001926
60 0.016604 0.002096
std dev 0.063021
variance 0.003972
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.282925
R Square 0.080047
Adjusted R 0.064185
Standard E 0.090609
Observatio 60

ANOVA
df SS MS F Significance F
Regression 1 0.041433 0.041433 5.046676 0.028496
Residual 58 0.476177 0.00821
Total 59 0.51761

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
alfa 0.014523 0.011848 1.225761 0.225242 -0.009193 0.038239 -0.009193 0.038239
beta 0.735763 0.327518 2.246481 0.028496 0.080164 1.391362 0.080164 1.391362

RESIDUAL OUTPUT

Observation
Predicted Caplin
Residuals
1 0.002015 0.059285
2 -0.002474 0.101174
3 0.046675 -0.060375
4 -0.022707 0.091407
5 0.005767 0.015933
6 -0.038084 -0.201616
7 -0.046031 0.062431
8 0.019231 0.057869
9 -0.060084 -0.254716
10 0.068601 -0.062901
11 0.058374 -0.106474
12 -0.025944 0.116844
13 -0.003577 0.009477
14 0.001867 -0.059667
15 0.021071 -0.212771
16 0.074267 -0.201067
17 0.059993 0.150207
18 0.025412 0.066088
19 0.030562 -0.075962
20 0.031739 -0.070339
21 0.006724 0.151076
22 0.057859 0.156841
23 0.025633 0.123667
24 0.046823 0.006577
25 0.030709 -0.015109
26 0.024823 0.020377
27 0.005693 -0.025593
28 -0.004313 0.074913
29 0.023646 -0.155946
30 0.029238 0.173462
31 -0.014025 0.078525
32 0.015332 0.033968
33 0.028576 -0.127376
34 0.026736 -0.014636
35 0.047117 0.051183
36 0.039097 0.000203
37 -0.005637 0.028837
38 0.0299 -0.0109
39 0.000837 -0.017437
40 -0.005049 -0.027451
41 0.040936 0.022464
42 0.021807 -0.071407
43 0.045572 0.011628
44 0.008784 -0.001184
45 0.021365 -0.032365
46 -0.001591 0.025391
47 0.042629 0.004671
48 0.015921 0.054979
49 0.043217 0.017583
50 0.011874 0.037726
51 0.027472 -0.033572
52 0.022984 0.016316
53 -0.009758 0.012358
54 0.013125 0.035675
55 0.012462 0.087138
56 0.031445 -0.004945
57 0.02784 -0.07544
58 0.04101 -0.02181
59 0.030194 -0.013094
60 0.021218 -0.002118
std dev 0.089838
variance 0.008071
 Column 1 Column 2
Column 1 1
Column 2 0.0579245058 1
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.282925
R Square 0.080047
Adjusted R Square 0.064185
Standard Error 0.034842
Observations 60

ANOVA
df SS MS F Significance F
Regression 1 0.006127 0.006127 5.046676 0.028496
Residual 58 0.07041 0.001214
Total 59 0.076537

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.003704 0.004589 0.807099 0.422907 -0.005482 0.012889 -0.005482 0.012889
X Variable 1 0.108794 0.048429 2.246481 0.028496 0.011854 0.205735 0.011854 0.205735

RESIDUAL OUTPUT

Observation Predicted Y Residuals

1 0.010373 -0.027373
2 0.014442 -0.037542
3 0.002213 0.041487
4 0.011178 -0.061778
5 0.006064 -0.017964
6 -0.022374 -0.049126
7 0.005488 -0.087788
8 0.012092 -0.005692
9 -0.030545 -0.070855
10 0.004324 0.069176
11 -0.001529 0.061129
12 0.013593 -0.068593
13 0.004346 -0.028946
14 -0.002585 -0.014615
15 -0.017152 0.026052
16 -0.010091 0.091291
17 0.026572 0.035228
18 0.013658 0.001142
19 -0.001236 0.023036
20 -0.000496 0.023896
21 0.020871 -0.031471
22 0.027062 0.031838
23 0.019947 -0.004847
24 0.009513 0.034387
25 0.005401 0.016599
26 0.008621 0.005379
27 0.001539 -0.013539
28 0.011384 -0.036984
29 -0.01069 0.02309
30 0.025756 -0.005756
31 0.010721 -0.049521
32 0.009067 -0.007967
33 -0.007045 0.026145
34 0.00502 0.01158
35 0.014398 0.029902
36 0.007979 0.025421
37 0.006228 -0.033628
38 0.005771 0.015129
39 0.001898 -0.020498
40 0.000168 -0.026768
41 0.010601 0.025299
42 -0.001693 0.011593
43 0.009927 0.032273
44 0.00453 -0.01233
45 0.002507 0.006793
46 0.006293 -0.028193
47 0.00885 0.02935
48 0.011417 -0.009517
49 0.010318 0.028682
50 0.0091 -0.0127
51 0.00304 0.01456
52 0.007979 0.003521
53 0.003986 -0.036986
54 0.009013 -0.010913
55 0.01454 -0.01734
56 0.006587 0.016413
57 -0.001475 0.019575
58 0.005792 0.030208
59 0.005564 0.015736
60 0.005782 0.003318
Upper 95.0%
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.282925
R Square 0.080047
Adjusted R 0.064185
Standard E 0.090609
Observatio 60

ANOVA
df SS MS F Significance F
Regression 1 0.041433 0.041433 5.046676 0.028496
Residual 58 0.476177 0.00821
Total 59 0.51761

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
Intercept 0.014523 0.011848 1.225761 0.225242 -0.009193 0.038239 -0.009193 0.038239
X Variable 0.735763 0.327518 2.246481 0.028496 0.080164 1.391362 0.080164 1.391362

RESIDUAL OUTPUT

ObservationPredicted Y Residuals
1 0.002015 0.059285
2 -0.002474 0.101174
3 0.046675 -0.060375
4 -0.022707 0.091407
5 0.005767 0.015933
6 -0.038084 -0.201616
7 -0.046031 0.062431
8 0.019231 0.057869
9 -0.060084 -0.254716
10 0.068601 -0.062901
11 0.058374 -0.106474
12 -0.025944 0.116844
13 -0.003577 0.009477
14 0.001867 -0.059667
15 0.021071 -0.212771
16 0.074267 -0.201067
17 0.059993 0.150207
18 0.025412 0.066088
19 0.030562 -0.075962
20 0.031739 -0.070339
21 0.006724 0.151076
22 0.057859 0.156841
23 0.025633 0.123667
24 0.046823 0.006577
25 0.030709 -0.015109
26 0.024823 0.020377
27 0.005693 -0.025593
28 -0.004313 0.074913
29 0.023646 -0.155946
30 0.029238 0.173462
31 -0.014025 0.078525
32 0.015332 0.033968
33 0.028576 -0.127376
34 0.026736 -0.014636
35 0.047117 0.051183
36 0.039097 0.000203
37 -0.005637 0.028837
38 0.0299 -0.0109
39 0.000837 -0.017437
40 -0.005049 -0.027451
41 0.040936 0.022464
42 0.021807 -0.071407
43 0.045572 0.011628
44 0.008784 -0.001184
45 0.021365 -0.032365
46 -0.001591 0.025391
47 0.042629 0.004671
48 0.015921 0.054979
49 0.043217 0.017583
50 0.011874 0.037726
51 0.027472 -0.033572
52 0.022984 0.016316
53 -0.009758 0.012358
54 0.013125 0.035675
55 0.012462 0.087138
56 0.031445 -0.004945
57 0.02784 -0.07544
58 0.04101 -0.02181
59 0.030194 -0.013094
60 0.021218 -0.002118
 Monthly return series single index model
Year Date S&P 500 Caplin Zee alfa 1 0.014522600961
Jan -1.70% 6.13% 1.66% alfa 2 0.003683951813
Feb -2.31% 9.87% -13.27% beta 1 0.735763036451
Mar 4.37% -1.37% 10.55% beta 2 1.419799452204
Apr -5.06% 6.87% 1.01% sd error1 0.089837633354
May -1.19% 2.17% -4.26% sd error 2 0.063021216909
Jun -7.15% -23.97% -11.37% sd of market 0.0360
2015
Jul -8.23% 1.64% -9.66% return of market 0.005743333333
Aug 0.64% 7.71% 7.35% W_C(weight of investi 0.5
Sep -10.14% -31.48% -15.36% assumed
W_Zee 0.5
Oct 7.35% 0.57% -8.18%
Nov 5.96% -4.81% 25.44% Rp= a+b*Rm
Dec -5.50% 9.09% -9.91% (Var=b^2*Var_m+Var_e)
Jan -2.46% 0.59% 3.90% monthly
Feb -1.72% -5.78% 0.92% Portfolio return 0.015293333333
Mar 0.89% -19.17% 14.70% Portfolio variance 0.00384
Apr 8.12% -12.68% 15.19% Portfolio std dev 0.061967733539
May 6.18% 21.02% 0.06%
Jun 1.48% 9.15% 9.24%
2016
Jul 2.18% -4.54% 7.78% markowitz monthly
Aug 2.34% -3.86% -1.86% Portfolio return 0.015293
Sep -1.06% 15.78% 0.97% 0.000000000000
Oct 5.89% 21.47% 16.70% variance 0.00406
Nov 1.51% 14.93% 1.42% std dev 0.063719
Dec 4.39% 5.34% -3.75%
Jan 2.20% 1.56% -7.19%
Feb 1.40% 4.52% 10.73%
Mar -1.20% -1.99% -0.55%
Apr -2.56% 7.06% -13.15%
May 1.24% -13.23% 4.08%
Jun 2.00% 20.27% -3.36%
2017
Jul -3.88% 6.45% -4.37%
Aug 0.11% 4.93% 1.98%
Sep 1.91% -9.88% 1.46%
Oct 1.66% 1.21% -5.90%
Nov 4.43% 9.83% 7.57%
Dec 3.34% 3.93% 1.84%
Jan -2.74% 2.32% 1.14%
Feb 2.09% 1.90% 7.76%
Mar -1.86% -1.66% -3.17%
Apr -2.66% -3.25% -7.48%
May 3.59% 6.34% 6.66%
Jun 0.99% -4.96% 3.02%
2018
Jul 4.22% 5.72% 5.53%
2018

Aug -0.78% 0.76% -5.65%

Sep 0.93% -1.10% -5.07%
Oct -2.19% 2.38% -4.12%
Nov 3.82% 4.73% 8.39%
Dec 0.19% 7.09% -1.18%
Jan 3.90% 6.08% 5.05%
Feb -0.36% 4.96% -4.29%
Mar 1.76% -0.61% 3.99%
Apr 1.15% 3.93% -6.59%
May -3.30% 0.26% -5.94%
Jun -0.19% 4.88% -2.32%
2019
Jul -0.28% 9.96% 3.26%
Aug 2.30% 2.65% 8.56%
Sep 1.81% -4.76% 12.07%
Oct 3.60% 1.92% 13.93%
Nov 2.13% 1.71% 3.20%
Dec 0.91% 1.91% 1.87%
monthly
expected retur 0.57%
std dev of m 0.0360
annual
expected retur 0.0689
std dev of m 0.1248
0.008071
0.003972
0.001297

0.25
0.25

annual
0.18352

0.214663

annual
0.183516