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May 11, 2020

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?

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)

Finance

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