CFA Practice Question

There are 208 practice questions for this study session.

CFA Practice Question

Suppose you want to know whether Fidelity Select Technology Fund (FSTF) behaves more like a large-cap growth fund or a large-cap value fund. You want to estimate the regression Y-hatt = b0 + b1X1t + b2X2t + et, where Yt is the monthly return to the FSTF, X1t is the monthly return to the S&P 500 Growth Index, and X2t is the monthly return to the S&P 500 Value index. The table below shows the results of a multiple linear regression using monthly data from December 1994 through March 2009.

Calculate the standard error of estimate (SEE) for the regression in the table above.
Correct Answer: From the table we can calculate the standard error of estimate as (0.3682/169)1/2 = 0.0467. Thus the residual standard error is 4.67% a month.

User Contributed Comments 6

User Comment
hrai123 SEE is really square root of Mean square of residuals in the Anova table
katybo That is right: MSE = SSE / n-k-1
MasterD Thus SEE = (MSE)^(1/2) = (SSE/(n-k-1))^(1/2)
mikeb119 And according to the previous question:

"The standard error of estimate is equal to the standard error of the residual."

So you can just pull the 0.0467 from the table.
Nightsurfer mikeb119, I was going to point out the same thing.
quanttrader SEE=sqrt(MSE), MSE provided but can also be calculated as SSE/n-k-1
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