Solutions Statistics

Solution) You are given monthly annualized total return data for two mutual funds, A and B. Using linear regre

Question: You are given monthly annualized total return data for two mutual funds, A and B. Using linear regression, develop a relationship which gives the annualized return of fund B as a function of the return of fund A. What is the coefficient of determination of this relationship?

Month	Total Return A (%)	Total Return B (%)
Jan	-26.2	30.8
Feb	12	30.5
Mar	52	-13.4
Apr	39	24.6
May	-21.4	-27.7
Jun	-38.4	-23.3
Jul	15.4	28.4
Aug	15.4	13.3
Sep	17.8	126.1
Oct	-52.8	83.4
Nov	-10.4	-19.8
Dec	-73.4	79.8