Beta Management Co.

Harvard Business School Case #292-122

Case Software #XLS-132

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SUMMARY OUTPUT

Regression Statistics
Multiple R 0.0735316602
R Square 0.005406905
Adjusted R -0.039801872
Standard E 0.0941264386
Observatio 24

ANOVA
df SS MS F Significance F
Regression 1 0.0010596178 0.00105962 0.11959857 0.7327555
Residual 22 0.1949153018 0.00885979
Total 23 0.1959749196

Coefficients Standard Error t Stat P-value Lower 95% Upper 95%

Intercept -0.0243 0.0198 -1.2275 0.2326 -0.0653 0.0167
X Variable 0.1474 0.4261 0.3458 0.7328 -0.7363 1.0310
Intercept -0.0195 0.0132 -1.4756 0.1542 -0.0470 0.0079
X Variable 1.1633 0.2852 4.0785 0.0005 0.5718 1.7549

RESIDUAL OUTPUT

Observation Predicted Y Residuals

1 -0.013492591 -0.2691074087
2 -0.027918297 -0.0023817034
3 -0.020948574 0.1084485738
4 -0.016645912 0.001945912
5 -0.018325718 0.0034257183
6 -0.02514809 -0.0657519103
7 -0.011002352 0.1177023521
8 -0.02153798 -0.0722620204
9 -0.024868122 0.1282681219
10 -0.02772674 -0.1160732603
11 -0.021272747 -0.126827253
12 -0.020771752 -0.0227282479
13 -0.034180732 -0.0203192675
14 -0.022407353 0.072407353
15 -0.020432844 0.1156328438
16 -0.027962502 0.019262502
17 -0.010000362 0.0100003624
18 -0.025295441 0.0707954411
19 -0.024750241 0.0595502408
20 -0.037584551 0.0375845506
21 -0.031484201 -0.0989157987
22 -0.024882857 0.0248828571
23 -0.014789284 0.029789284
24 -0.020270757 -0.0053292428
Lower 0.01% Upper 0.01%
-0.0243 -0.0243
0.1473 0.1474
-0.0195 -0.0195
1.1633 1.1634
SUMMARY OUTPUT BROWN

Regression Statistics
Multiple R 0.65617
R Square 0.430559
Adjusted R 0.404675
Standard E 0.063013
Observatio 24

ANOVA
df SS MS F Significance F
Regression 1 0.066048 0.066048 16.63436 0.000498
Residual 22 0.087353 0.003971
Total 23 0.153401

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 0.01%
Upper 0.01%
Intercept -0.0195 0.0132 -1.4756 0.1542 -0.0470 0.0079 -0.0195 -0.0195
X Variable 1.1633 0.2852 4.0785 0.0005 0.5718 1.7549 1.1633 1.1634

RESIDUAL OUTPUT

ObservationPredicted Y Residuals
1 0.065619 0.025981
2 -0.048273 0.055573
3 0.006753 -0.009653
4 0.040723 -0.018623
5 0.027461 -0.038261
6 -0.026402 0.019902
7 0.085279 -0.063079
8 0.0021 -0.0021
9 -0.024192 0.042992
10 -0.046761 -0.028739
11 0.004194 -0.132594
12 0.008149 -0.025149
13 -0.097716 -0.054384
14 -0.004764 0.080864
15 0.010825 0.000275
16 -0.048622 0.043522
17 0.09319 0.03391
18 -0.027566 0.060766
19 -0.023261 0.054961
20 -0.124589 -0.022611
21 -0.076426 0.057326
22 -0.024308 -0.100692
23 0.055381 0.117219
24 0.012105 -0.097405
Table 1 Investment Return Data
z x y
California Brown covarianc
MONTH Vanguard Index 500 Trust REIT Group e of reit
1989 - January 7.32% -28.26% 9.16% -1.62%
February -2.47% -3.03% 0.73% 0.03%
March 2.26% 8.75% -0.29% 0.13%
April 5.18% -1.47% 2.21% 0.03%
May 4.04% -1.49% -1.08% 0.02%
June -0.59% -9.09% -0.65% 0.12%
July 9.01% 10.67% 2.22% 1.02%
August 1.86% -9.38% 0.00% -0.05%
September -0.40% 10.34% 1.88% -0.19%
October -2.34% -14.38% -7.55% 0.42%
November 2.04% -14.81% -12.84% -0.12%
December 2.38% -4.35% -1.70% -0.03%
1990 - January -6.72% -5.45% -15.21% 0.25%
February 1.27% 5.00% 7.61% 0.01%
March 2.61% 9.52% 1.11% 0.18%
April -2.50% -0.87% -0.51% -0.05%
May 9.69% 0.00% 12.71% 0.19%
June -0.69% 4.55% 3.32% -0.12%
July -0.32% 3.48% 3.17% -0.08%
August -9.03% 0.00% -14.72% -0.23%
September -4.89% -13.04% -1.91% 0.65%
October -0.41% 0.00% -12.50% -0.03%
November 6.44% 1.50% 17.26% 0.20%
December 2.72% -2.56% -8.53% 0.00%

mean 1.10% -2.27% -0.67% covariance 0.03%

sd 4.33% 9.04% 7.99%
variance 18.7489 81.7216 63.8401
cal brown
beta 0.1473514325 1.163349646
0.1473514325 1.163349646
brown
group z-Z x-X y-Y (z-Z)2
0.61% 6.22% -25.99% 9.83% 0.386573062500%
-0.05% -3.57% -0.76% 1.40% 0.127627562500%
0.00% 1.16% 11.02% 0.38% 0.013398062500%
0.12% 4.08% 0.80% 2.88% 0.166260062500%
-0.01% 2.94% 0.78% -0.41% 0.086289062500%
0.00% -1.69% -6.82% 0.02% 0.028645562500%
0.23% 7.91% 12.94% 2.89% 0.625285562500%
0.01% 0.76% -7.11% 0.67% 0.005738062500%
-0.04% -1.50% 12.61% 2.55% 0.022575062500%
0.24% -3.44% -12.11% -6.88% 0.118508062500%
-0.11% 0.94% -12.54% -12.17% 0.008789062500%
-0.01% 1.28% -2.08% -1.03% 0.016320062500%
1.14% -7.82% -3.18% -14.54% 0.611915062500%
0.01% 0.17% 7.27% 8.28% 0.000280562500%
0.03% 1.51% 11.79% 1.78% 0.022725562500%
-0.01% -3.60% 1.40% 0.16% 0.129780062500%
1.15% 8.59% 2.27% 13.38% 0.737451562500%
-0.07% -1.79% 6.82% 3.99% 0.032130562500%
-0.05% -1.42% 5.75% 3.84% 0.020235062500%
1.42% -10.13% 2.27% -14.05% 1.026675562500%
0.07% -5.99% -10.77% -1.24% 0.359100562500%
0.18% -1.51% 2.27% -11.83% 0.022876562500%
0.96% 5.34% 3.77% 17.93% 0.284889062500%
-0.13% 1.62% -0.29% -7.86% 0.026163062500%

4.493659437500%
0.25%
 (x-X)2 (y-Y)2
6.7571836267361100% 0.96653476562500%
0.0058458767361111% 0.01963501562500%
1.2133940434027800% 0.00145351562500%
0.0063268767361111% 0.08301601562500%
0.0060127100694445% 0.00167076562500%
0.4657493767361110% 0.00000451562500%
1.6732500434027800% 0.08359326562500%
0.5061729600694440% 0.00450576562500%
1.5889652934027800% 0.06508876562500%
1.4676312934027800% 0.47317201562500%
1.5736657100694400% 1.48078476562500%
0.0434548767361111% 0.01058326562500%
0.1014157100694440% 2.11375251562500%
0.5278627934027780% 0.68579101562500%
1.3889604600694400% 0.03172851562500%
0.0194718767361111% 0.00026001562500%
0.0513211267361111% 1.79057851562500%
0.4644990434027780% 0.15930076562500%
0.3300981267361110% 0.14755201562500%
0.0513211267361111% 1.97367376562500%
1.1609164600694400% 0.01534501562500%
0.0513211267361111% 1.39919326562500%
0.1417836267361110% 3.21529726562500%
0.0008677934027778% 0.61759951562500%

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