ITC Market return itc return mkt

Jan-17 258.05 3701.12

Feb-17 262.15 3858.84 1.59% 4.26% beta 0.8371526436
Mar-17 280.45 3991.85 6.98% 3.45% beta 0.8371526436
Apr-17 278.60 4082.97 -0.66% 2.28%
May-17 311.90 4165.52 11.95% 2.02%
Jun-17 323.85 4149.22 3.83% -0.39%
Jul-17 285.15 4381.53 -11.95% 5.60%
Aug-17 282.20 4334.58 -1.03% -1.07%
Sep-17 258.25 4280.88 -8.49% -1.24%
Oct-17 266.10 4541.26 3.04% 6.08%
Nov-17 255.65 4527.44 -3.93% -0.30%
Dec-17 263.10 4678.86 2.91% 3.34%
Jan-18 271.25 4812.21 3.10% 2.85%
Feb-18 265.10 4591.54 -2.27% -4.59%
Mar-18 255.90 4432.62 -3.47% -3.46%
Apr-18 281.45 4723.51 9.98% 6.56%
May-18 271.60 4654.35 -3.50% -1.46%
Jun-18 266.05 4608.29 -2.04% -0.99%
Jul-18 297.20 4870.95 11.71% 5.70%
Aug-18 319.15 5040.98 7.39% 3.49%
Sep-18 296.70 4631.6 -7.03% -8.12%
Oct-18 279.80 4440.16 -5.70% -4.13%
Nov-18 286.25 4626.51 2.31% 4.20%
Dec-18 281.65 4653.68 -1.61% 0.59%
Jan-19 278.75 4587.58 -1.03% -1.42%
Feb-19 276.15 4562.57 -0.93% -0.55%
Mar-19 296.70 4907.57 7.44% 7.56%
Apr-19 301.55 4915.46 1.63% 0.16%
May-19 278.65 4986.55 -7.59% 1.45%
Jun-19 273.95 4926.59 -1.69% -1.20%
Jul-19 270.05 4634.74 -1.42% -5.92%
Rs= a+b(Rm)
E®=Rf+B(Rf-Rm)
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.5499817642
R Square 0.302479941
Adjusted R 0.2775685103
Standard E 0.0499645594
Observatio 30

ANOVA
df SS MS F Significance F
Regression 1 0.030313 0.030313 12.14221 0.001641
Residual 28 0.069901 0.002496
Total 29 0.100213

CoefficientsStandard Error t Stat P-value Lower 95%Upper 95%

Lower 95.0%
Upper 95.0%
Intercept -0.003730169 0.009335 -0.39959 0.692488 -0.02285 0.015392 -0.02285 0.015392
X Variable 0.8371526436 0.240246 3.484568 0.001641 0.345032 1.329274 0.345032 1.329274

RESIDUAL OUTPUT

Observation Predicted Y Residuals

error
1 3.19% -1.606%
term
2 2.51% 4.468%
3 1.54% -2.198%
4 1.32% 10.633%
5 -0.70% 4.532%
6 4.31% -16.264%
7 -1.27% 0.236%
8 -1.41% -7.077%
15.00%
9 4.72% -1.679%
10 -0.63% -3.299%
11 2.43% 0.487%
12 2.01% 1.085% 10.00%
13 -4.21% 1.945%
14 -3.27% -0.200%
15 5.12% 4.864% f(x) = 0.8371526436x5.00%
- 0.003730169
16 -1.60% -1.901%
17 -1.20% -0.842%
18 4.40% 7.310%
19 2.55% 4.836% 0.00%
-10.00% -5.00% 0.00% 5.00%
20 -7.17% 0.137%
21 -3.83% -1.863%
22 3.14% -0.835% -5.00%
23 0.12% -1.726%

-10.00%
 -10.00% -5.00% 0.00% 5.00%

-5.00%

24 -1.56% 0.532%
25 -0.83% -0.103%
-10.00%
26 5.96% 1.484%
27 -0.24% 1.873%
28 0.84% -8.432%
29 -1.38% -0.307% -15.00%
30 -5.33% 3.909%
%

003730169
%

regression
Linear (regression)
%
Linear (regression)
0.00% 5.00% 10.00%
Column B

%
0.00% 5.00% 10.00%
Column B

%
 ITC Market return itc return mktRFR %retITC-RFR R mkt-RFR
Jan-17 258.05 3701.12
Feb-17 262.15 3858.84 1.59% 4.26% 0.50% 1.09% 3.76%
Mar-17 280.45 3991.85 6.98% 3.45% 0.50% 6.48% 2.95% beta
Apr-17 278.60 4082.97 -0.66% 2.28% 0.50% -1.16% 1.78%
May-17 311.90 4165.52 11.95% 2.02% 0.50% 11.45% 1.52% avg return
Jun-17 323.85 4149.22 3.83% -0.39% 0.50% 3.33% -0.89%
Jul-17 285.15 4381.53 -11.95% 5.60% 0.50% -12.45% 5.10% beta
Aug-17 282.20 4334.58 -1.03% -1.07% 0.50% -1.53% -1.57% exp return
Sep-17 258.25 4280.88 -8.49% -1.24% 0.50% -8.99% -1.74%
Oct-17 266.10 4541.26 3.04% 6.08% 0.50% 2.54% 5.58%
Nov-17 255.65 4527.44 -3.93% -0.30% 0.50% -4.43% -0.80%
Dec-17 263.10 4678.86 2.91% 3.34% 0.50% 2.41% 2.84%
Jan-18 271.25 4812.21 3.10% 2.85% 0.50% 2.60% 2.35%
Feb-18 265.10 4591.54 -2.27% -4.59% 0.50% -2.77% -5.09%
Mar-18 255.90 4432.62 -3.47% -3.46% 0.50% -3.97% -3.96%
Apr-18 281.45 4723.51 9.98% 6.56% 0.50% 9.48% 6.06%
May-18 271.60 4654.35 -3.50% -1.46% 0.50% -4.00% -1.96%
Jun-18 266.05 4608.29 -2.04% -0.99% 0.50% -2.54% -1.49%
Jul-18 297.20 4870.95 11.71% 5.70% 0.50% 11.21% 5.20%
Aug-18 319.15 5040.98 7.39% 3.49% 0.50% 6.89% 2.99%
Sep-18 296.70 4631.6 -7.03% -8.12% 0.50% -7.53% -8.62%
Oct-18 279.80 4440.16 -5.70% -4.13% 0.50% -6.20% -4.63%
Nov-18 286.25 4626.51 2.31% 4.20% 0.50% 1.81% 3.70%
Dec-18 281.65 4653.68 -1.61% 0.59% 0.50% -2.11% 0.09%
Jan-19 278.75 4587.58 -1.03% -1.42% 0.50% -1.53% -1.92%
Feb-19 276.15 4562.57 -0.93% -0.55% 0.50% -1.43% -1.05%
Mar-19 296.70 4907.57 7.44% 7.56% 0.50% 6.94% 7.06%
Apr-19 301.55 4915.46 1.63% 0.16% 0.50% 1.13% -0.34%
May-19 278.65 4986.55 -7.59% 1.45% 0.50% -8.09% 0.95%
Jun-19 273.95 4926.59 -1.69% -1.20% 0.50% -2.19% -1.70%
Jul-19 270.05 4634.74 -1.42% -5.92% 0.50% -1.92% -6.42%
0.837153

0.82% exp return 0.77%

0 0.3 0.5 1 1.5 2 2.5

0.50% 0.60% 0.66% 0.82% 0.99% 1.15% 1.31%

8.00%

6.00%

4.00%
f(x) = 0.3613199377x + 0.0039069016
2.00%

0.00% Column H
-15.00%-10.00% -5.00% 0.00% 5.00% 10.00% 15.00% Linear (Column H)
-2.00% Column B
-4.00%

-6.00%

-8.00%

-10.00%
olumn H
near (Column H)
olumn B
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.549982
R Square 0.30248
Adjusted R 0.277569
Standard E 0.049965
Observatio 30

ANOVA
df SS MS F Significance F
Regression 1 0.030313 0.030313 12.14221 0.001641
Residual 28 0.069901 0.002496
Total 29 0.100213

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%
Lower 95.0%
Upper 95.0%
Intercept -0.00454 0.009156 -0.49636 0.623517 -0.0233 0.01421 -0.0233 0.01421
X Variable 0.837153 0.240246 3.484568 0.001641 0.345032 1.329274 0.345032 1.329274

RESIDUAL OUTPUT

ObservationPredicted Y Residuals
1 0.026944 -0.01606
2 0.020126 0.044682
3 0.010379 -0.02198
4 0.008195 0.106331
5 -0.01201 0.04532
6 0.038141 -0.16264
7 -0.0177 0.002355
8 -0.0191 -0.07077
9 0.042189 -0.01679
10 -0.01128 -0.03299
11 0.019268 0.004873
12 0.015129 0.010848
13 -0.04712 0.019446
14 -0.03771 -0.002
15 0.046208 0.048636
16 -0.02099 -0.01901
17 -0.01701 -0.00842
18 0.038985 0.073098
19 0.020492 0.048364
20 -0.07672 0.001373
21 -0.04333 -0.01863
22 0.026404 -0.00835
23 -0.00381 -0.01726
24 -0.02062 0.005324
25 -0.01329 -0.00103
26 0.054571 0.014845
27 -0.00738 0.018731
28 0.003377 -0.08432
29 -0.0188 -0.00307
30 -0.05832 0.039087
beta 0 0.3 0.5 1 1.5 2 2.5
exp return 0.50% 0.60% 0.66% 0.82% 0.99% 1.15% 1.31%

security market line

1.40%

1.20%

1.00%

0.80%

0.60%

0.40%

0.20%

0.00%
0 0.5 1 1.5

at B=1, exp return=return of security

 Row 2

0 0.5 1 1.5 2 2.5 3

xp return=return of security