Financial Risk Manager Part 1

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Based on the regression results, which statement is correct?

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A

The estimated coefficient of 0.3533 indicates that the returns of the Russell 3000 index are more statistically significant in determining the portfolio returns than the other two indexes.

B

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The high adjusted R² indicates that the estimated coefficients on the Russell 1000, Russell 2000, and Russell 3000 indexes are statistically significant.

C

The high p-value of 0.9452 indicates that the regression coefficient of the returns of Russell 1000 is more statistically significant than the other two indexes.

D

The high correlations between each pair of index returns indicate that multicollinearity exists between the variables in this regression.

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