Beruflich Dokumente
Kultur Dokumente
Regression Statistics
Multiple R 0.715072
R Square 0.511327
Adjusted R 0.502902
Standard E 0.061222
Observatio
60
ANOVA
df
Regression
Residual
Total
SS
MS
F Significance F
1 0.227472 0.227472 60.68888 1.38E-010
58 0.217393 0.003748
59 0.444865
Coefficients
Standard Error t Stat
P-value Lower 95%Upper 95%
Lower 95.0%
Upper 95.0%
Intercept 0.002347 0.007904 0.296942 0.767572 -0.013474 0.018168 -0.013474 0.018168
X Variable 1.443782 0.185331 7.790306 1.38E-010 1.072803 1.814762 1.072803 1.814762
DATE
S&P
HD
20010131
3.46%
20010228
-9.23%
20010330
-6.42%
20010430
7.68%
20010531
0.51%
20010629
-2.50%
20010731
-1.08%
20010831
-6.41%
20010928
-8.17%
20011031
1.81%
20011130
7.52%
20011231
0.76%
20020131
-1.56%
20020228
-2.08%
20020328
3.67%
20020430
-6.14%
20020531
-0.91%
20020628
-7.25%
20020731
-7.90%
20020830
0.49%
20020930
-11.00%
20021031
8.64%
20021129
5.71%
20021231
-6.03%
20030131
-2.74%
20030228
-1.70%
20030331
0.84%
20030430
8.10%
20030530
5.09%
20030630
1.13%
20030731
1.62%
20030829
1.79%
20030930
-1.19%
20031031
5.50%
20031128
0.71%
20031231
5.08%
20040130
1.73%
20040227
1.22%
20040331
-1.64%
20040430
-1.68%
20040528
1.21%
20040630
1.80%
20040730
-3.43%
20040831
0.23%
20040930
0.94%
20041029
1.40%
20041130
3.86%
20041231
3.25%
20050131
-2.53%
5.50%
-11.83%
1.51%
9.28%
4.65%
-5.48%
8.21%
-8.70%
-16.50%
-0.37%
22.16%
9.35%
-1.80%
-0.18%
-2.68%
-4.61%
-10.09%
-11.78%
-15.93%
6.64%
-20.59%
10.65%
-8.59%
-8.79%
-12.99%
12.20%
4.14%
15.48%
15.50%
2.12%
-5.80%
3.08%
-0.75%
16.39%
-0.84%
-3.26%
-0.06%
2.37%
3.09%
-5.81%
2.07%
-1.77%
-4.21%
8.67%
7.22%
4.80%
1.84%
2.37%
-3.46%
20050228
20050331
20050429
20050531
20050630
20050729
20050831
20050930
20051031
20051130
20051230
Std.Dev.
Variance
Covariance
Correlation
Beta
Slope formula
1.89%
-1.91%
-2.01%
3.00%
-0.01%
3.60%
-1.12%
0.70%
-1.77%
3.52%
-0.10%
-3.01%
-4.20%
-7.51%
11.25%
-0.89%
11.85%
-7.10%
-5.41%
7.60%
2.05%
-3.11%
0.0426
0.0018
0.0026
0.7151
144.38%
144.38%
0.0861
0.0074
Excel Instructions:
There are four ways that you can calculate a Beta using Excel. The first
is to use the "=slope" formula. In this formula, the X variable series is the
return on the market and the Y variable series if the return on HD.
This gives:
1.4438
A second alternative is to calculate the Beta directly as the covariance
between the two return series, divided by the variance of market returns.
Using the summary statistics at the bottom of the page, this gives:
1.4438
A third method is to use the full regression procedure in Excel. Go to
"Tools" - "Data Analysis" - "Regression" and click OK. Again, enter the
market return series as the X variable and the HD return series as the
Y variable. When you click OK, you should get full regression output
similar to that shown in the worksheet labelled "HD Regr Output".
Finally, you can create a regression Beta in Excel using the chart functions.
Remember that Beta is just the slope in a regression where market returns
are on the X axis and security returns (HD returns) are on the Y axis.
To create this type of graph, highlight the two columns of data, with market
returns on the left. After highlighting the return series, click on the chart
wizard icon (or choose "Insert" - "Chart"). Under chart types, select
"X-Y scatterplot" and click Next. Click Next twice more to get to step 4 of 4.
In step 4, select "as new sheet" and click finish. When the new chart
comes up, select the "Chart" tab at the top of the page, and then select
"Add Trendline". Select the "Options" tab, and click the buttons for
"display equation" and "display R square", then click OK. This should add
both a regression line and a regression equation to your chart. The results
should look similar to those shown in the worksheet labelled "HD Chart".
Intercept
X Variable 1
SS
MS
F
Significance F
1 0.2274716182 0.227471618 60.68887508 1.376752E-010
58 0.217393284 0.00374816
59 0.4448649023
Intercept
Beta
t Stat
0.2969
7.7903
P-value
Lower 95.0% Upper 95.0%
0.7676
-0.0135
0.0182
0.0000
1.0728
1.8148
20.00%
15.00%
-15.00%
-10.00%
-5.00%
0.00%
0.00%
-5.00%
-10.00%
-15.00%
-20.00%
-25.00%
5.00%
10.00%