Use the following output from a market model regression of the weekly percentage returns on the AIG commodities index on a market index to answer questions a. - f. a. What is the formula for the Commodities Index' characteristic line? b. You forecast a market return of 1.0% for next week. What is next week's expected return for the commodities index? c. What is the correlation between the return on the commodities index and the return on the market Index? d. How much of the variation in the commodities index's returns are explained by the model? e. Based on these regression results, the commodities index would be considered what kind of an investment? f. Does this regression have much explanatory power? Why or why not?
Use the following output from a market model regression of the weekly percentage returns on the AIG commodities index on a market index to answer questions a. - f.
a. What is the formula for the Commodities Index' characteristic line?
b. You
c. What is the correlation between the return on the commodities index and the return on the market Index?
d. How much of the variation in the commodities index's returns are explained by the model?
e. Based on these regression results, the commodities index would be considered what kind of an investment?
f. Does this regression have much explanatory power? Why or why not?
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