explain the results as they relate to exposures to the risk factors in this mode

Question

explain the results as they relate to exposures to the risk factors in this model. Is there proof that this fund had particularly noteworthy performance during the 24-month period analyzed?

we use the CAPM regression

Rfund-rf = i + i(mktrf)

Regression Statistics Multiple R 0.898697969 R Square 0.80765804 Adjusted R Square 0.802000923 Standard Error 0.022739255 Observations 36 ANOVA df SS MS F Significance F Regression 1 0.07382184 0.07382184 142.7685009 1.0135E-13 Residual 34 0.017580507 0.000517074 Total 35 0.091402347 Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0% Intercept 0.007788326 0.004069923 1.913629871 0.064117124 -0.000482752 0.016059405 -0.000482752 0.016059405 mktrf 1.153606758 0.096547624 11.94857736 1.0135E-13 0.957398379 1.349815138 0.957398379 1.349815138

Explanation / Answer

If we observed the analysis table, we infferred that

Coefficient of determination ( R Square ) = 0.80765804

there is strong relationship between the response and explanatory variables.

Intercept = 0.007788326 is the expected mean value of response variable when all other explanatory variables are zero.

Slope = 1.153606758 interpretation

If the explanatory variable increase by 1 unit, we predict the response variable will increase by approximately 1.153606758 units.

And

Conclusion about intercept:

At 5% level of significant the intercept = 0 may be accepted. Because P-value 0.064117124 > 0.05

and

Conclusion about slope:

At 5% level of significant the slope = 0 may be rejected. Because P-value 1.0135E-13 < 0.05.

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