REGRESSION SUMMARY OUTPUT: Chevron to S&P 500

Dion Lopez Matt Theal Derek Matsushima FRL 433 Page 3/3

REGRESSION SUMMARY OUTPUT: Chevron to S&P 500

Regression Statistics Simple Linear Regression Equation Multiple R 0.8022 R Square 0.6435 Adjusted R Square 0.6407 Standard Error 0.0101 Observations 128

ANOVA df SS MS F Significance F

Regression 1 2.32E-02 2.32E-02 2.27E+02 5.31E-30 Residual 126 1.28E-02 1.02E-04 Total 127 3.60E-02

Coefficients STD Error t Stat P-value Lower 95% Upper 95% Low’r 95.0% Up’r 95.0% Intercept 0.000592 0.000895 0.661549 0.509468 -0.001179 0.002363 -0.001179 0.002363 S&P Daily Return 1.058407 0.070183 15.080681 0.000000 0.919517 1.197297 0.919517 1.197297

REGRESSION SUMMARY OUTPUT: Chevron to S&P 500 Index and AMEX Oil Index

Regression Statistics Multiple Regression Equation Multiple R 0.9224 R Square 0.8507 Adjusted R Square 0.8484 Standard Error 0.0066 Observations 128

ANOVA df SS MS F Significance F

Regression 2 3.07E-02 1.53E-02 3.56E+02 2.35E-52 Residual 125 5.38E-03 4.30E-05 Total 127 3.60E-02

Coefficients STD Error t Stat P-value Lower 95% Upper 95% Low’r 95.0% Up’r 95.0% Intercept 0.000248 0.000582 0.425760 0.671015 -0.000904 0.001400 -0.000904 0.001400 S&P Daily Return 0.195148 0.079825 2.444704 0.015891 0.037165 0.353131 0.037165 0.353131 AMEX Daily Return 0.807157 0.061265 13.174801 0.000000 0.685905 0.928408 0.685905 0.928408

REGRESSION SUMMARY OUTPUT: SDS Mutual Fund to S&P 500 Index

Regression Statistics SIMPLE LINEAR REGRESSION EQUATION Multiple R 0.9796 R Square 0.9595 Adjusted R Square 0.9592 Standard Error 0.0050 Observations 128

ANOVA df SS MS F Significance F

Regression 1 0.07400 0.07400 2988.15 1.2668E-89 Residual 126 0.00312 0.00002 Total 127 0.07712

Coefficients STD Error t Stat P-value Lower 95% Upper 95% Low’r 95.0% Up’r 95.0% Intercept 0.00001032 0.00044 0.0234 0.9814 -0.0009 0.0009 -0.0009 0.0009 S&P 500 Daily Return -1.8906 0.0346 -54.6639 0.0000 -1.9591 -1.8222 -1.9591 -1.8222

CHEVRON = 0.000592 + 1.0584(S&P 500)

CHEVRON = 0.000248 + 0.1951(S&P 500) + 0.8072(AMEX OIL)

SDS = 0.00001032 – 1.8906(S&P 500)

Beta Estimation Assignment