- The Eurekahedge indices are a set of indices that track specific types of hedge funds. In this exercise we want to evaluate and determine the factors that determine the returns generated by EHFI 68, a index specific to Japanese hedge funds versus the major Japanese Index the Nikkei 225 (20 pts):
- Using the excel formula, calculate the Beta of EHFI 68 to the Nikkei 225 based on the CAPM. Interpret that result in one sentence. (5 pts)
- Now using the Covariance method, calculate the Beta of EHFI 68 to four decimal places. (5 pts)
- Perform a regression between EHFI 68 and the Nikkei 225. What is the adjusted R-squared? What does that imply? Is this what you would expect in the relationship between the two? (5 pts)
