[Step-by-Step] Data for 137 mutual funds are provided in the MutualFunds .xlsx spreadsheet. This file contains the fields described below: Fund Name of Fund
Question: Data for 137 mutual funds are provided in the MutualFunds .xlsx spreadsheet. This file contains the fields described below:
| Fund | Name of Fund |
| Ret00Q1 | % Return in Quarter 1 of 2000 (1Q2000) | |
| Ret99 | % Return in 1999 (%) | |
| ExpRatio | % Fund Expense Ratio (%) | |
| Objective | GI | ‘1’ if Growth-and-Income fund, ‘0’ otherwise |
| MC | ‘1’ if Midsize Companies fund, ‘0’ otherwise | |
| SC | ‘1’ if Small Companies fund, ‘0’ otherwise | |
| TK | ‘1’ if High-tech fund, ‘0’ otherwise | |
| SalesChg | ‘1’ if fund has sales charge, ‘0’ otherwise | |
| Risk | AvgRisk | ‘1’ if Average Risk fund, ‘0’ otherwise |
| HiRisk | ‘1’ if High Risk fund, ‘0’ otherwise |
In this assignment, you will attempt to develop a model for Ret00Q1 returns as a function of the other variables. In the following questions the term ‘variables’ refers to all variables in this data set except the ‘ F und’ name variable.
Use the Excel Tools/Data Analysis/Regression tool to carry out a multiple regression of Ret00Q1 versus all of the other variables. The resulting model will be referred to as the ‘full model’ below. [Note that the built-in Excel tool requires all ‘X’-variables to be in adjacent columns. You may need to move columns around in the data set to carry out some regressions.]
Be sure to use the regression options to calculate residuals and standardized residuals for each of the regressions you carry out. It is not necessary to hand in copies of all of your regression output; limit your submission to exhibits that are directly referenced in your analyses.
- Calculate the sample correlations (correlation matrix) for all pairs of variables. Briefly comment on any correlations that may be relevant to the regression analysis.
- What percentage of the variation in Ret00Q1 is explained by the full model?
- Write out a clear interpretation of each significant slope coefficient that you obtain.
- When questioned by an investor about a seemingly high expense ratio for a mutual fund, an investment advisor at a bank responded that "this fund is intensively managed to maximize returns, and the management costs are accordingly higher." Comment on this advisor’s statement, using the regression results to support your statements.
- Predict the return in the first quarter of 2000 on a single average-risk, TK fund with a sales charge, an expense ratio of 1.30, and a 12% return in 1999. It is not necessary to generate a prediction interval for this estimate; a point estimate is all that is required. Examine the original data and comment on any concerns you might have about this prediction.
- Run a multiple regression of Ret00Q1 versus only the two Risk indicator variables. Compare the results from this regression with those from the full model. Can you explain any differences?
- Conduct additional regressions at your discretion with the objective of obtaining a ‘good’ model in the terms discussed in class. You should use the adjusted R-square as a rough measure of the ‘goodness’ of a model. Prepare a brief summary of your findings (maximum two pages – again, please limit the amount of computer reports you submit) and recommend what your team considers to be the "best" model.
Deliverable: Word Document 
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