Su Kim has decided that Aus Bonds and Equities should be invested through index ETFs but the US equities will be invested through an active fund. She has selected three funds and conducts an excess return regression for each fund against the benchmark as follows: Fund 1 Fund 2 Fund 3 Intercept 0.50% 0.10% 0.80% p-values (Intercept) 0.29 0.15 0.21 Beta 1.1 0.9 0.8 p-values (Beta) 0.0001 0.002 0.00004 Standard Error of Regression 4% 5% 6% Required: 1. Explain, using the regression results from the table above, which fund manager(s) shows active fund management skills at 70% confidence level?
Su Kim has decided that Aus Bonds and Equities should be invested through index ETFs but the US equities will be invested through an active fund. She has selected three funds and conducts an excess return regression for each fund against the benchmark as follows: Fund 1 Fund 2 Fund 3 Intercept 0.50% 0.10% 0.80% p-values (Intercept) 0.29 0.15 0.21 Beta 1.1 0.9 0.8 p-values (Beta) 0.0001 0.002 0.00004 Standard Error of Regression 4% 5% 6% Required: 1. Explain, using the regression results from the table above, which fund manager(s) shows active fund management skills at 70% confidence level?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
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Transcribed Image Text:Su Kim has decided that Aus Bonds and Equities should be invested through index ETFs but
the US equities will be invested through an active fund. She has selected three funds and
conducts an excess return regression for each fund against the benchmark as follows:
Fund 1
Fund 2
Fund 3
Intercept
0.50%
0.10%
0.80%
p-values
(Intercept)
0.29
0.15
0.21
Beta
1.1
0.9
0.8
p-values
(Beta)
0.0001
0.002
0.00004
Standard Error of
Regression
4%
5%
6%
Required:
1. Explain, using the regression results from the table above, which fund manager(s) shows
active fund management skills at 70% confidence level?
2. Explain which fund should be selected for the investment.
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