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    Regression analysis for mutual fund data

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    Linear regression analysis; construct confidence intervals for regression parameters; correlation coefficient .

    We can use two products at my work, which are mutual funds and see if there is a correlation between the two. The two different funds are: a domestic stock mutual fund, which only invests in large organizations (large cap companies) based here in the US and an international mutual fund, which only invests in large foreign-based companies. We can see the relationships between them and the magnitude of those relationships.

    Date: USIFX Monthly 2006 USSPX Monthly 2006
    Close Close
    Dec 1 27 21.24
    Nov 1 28.91 21.05
    Oct 2 28.1 20.66
    Sept 1 27.54 20.01
    Aug 1 27.49 19.59
    Jul 3 26.57 19.14
    Jun 1 26.01 19.03
    May 1 25.84 19.09
    Apr 3 26.79 19.65
    Mar 1 25.63 19.40
    Feb 1 24.90 19.24
    Jan 3 24.95 19.19

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    Solution Preview

    Please see the attachments. Calculations are done in Excel.

    The relationship between the two mutual funds can be illustrated in a scatter diagram

    The scatter diagram suggests that there is a positive correlation between the two variables. The degree of relationship is measured by the correlation coefficient

    Correlation = 0.753011296

    Regression Analysis
    The regression ...

    Solution Summary

    The solution contains calculation of regression equation, coefficient of determination, confidence interval for regression coefficients and regression coefficients. Interpretation of the results are also given.