In: Statistics and Probability
The following table shows a portion of the monthly returns data (in percent) for 2010–2016 for two of Vanguard’s mutual funds: the Vanguard Energy Fund and the Vanguard Healthcare Fund. [You may find it useful to reference the t table.] Date Energy Healthcare Jan-10 −4.86 −0.08 Feb-10 1.90 0.56 ⋮ ⋮ ⋮ Dec-16 0.10 −5.30 SOURCE: www.finance.yahoo.com. Click here for the Excel Data File a. Calculate the sample correlation coefficient rxy. (Round intermediate calculations to at least 4 decimal places and final answer to 2 decimal places.) b. Specify the competing hypotheses in order to determine whether the population correlation coefficient is different from zero. H0: ρxy ≤ 0; HA: ρxy > 0 H0: ρxy = 0; HA: ρxy ≠ 0 H0: ρxy ≥ 0; HA: ρxy < 0 c-1. Calculate the value of the test statistic. (Round intermediate calculations to at least 4 decimal places and final answer to 2 decimal places.) c-2. Find the p-value. p-value < 0.01 0.01 ≤ p-value < 0.02 0.02 ≤ p-value < 0.05 0.05 ≤ p-value < 0.10 p-value ≥ 0.10 c-3. At the 5% significance level, what is the conclusion to the test? Reject H0; there is enough evidence to state the returns are correlated. Reject H0; there is not enough evidence to state the returns are correlated. Do not reject H0; there is enough evidence to state the returns are correlated. Do not reject H0; there is not enough evidence to state the returns are correlated.
Date | Energy | Healthcare |
Jan-10 | -4.86 | -0.08 |
Feb-10 | 1.9 | 0.56 |
Mar-10 | 2.3 | 1.41 |
Apr-10 | 3.02 | -3.76 |
May-10 | -11.2 | -5.13 |
Jun-10 | -5.77 | -0.51 |
Jul-10 | 8.75 | 1.55 |
Aug-10 | -5.94 | -0.99 |
Sep-10 | 10.14 | 8.29 |
Oct-10 | 3.87 | 2.33 |
Nov-10 | 2.82 | -2.49 |
Dec-10 | 5.56 | 2.3 |
Jan-11 | 6.47 | 1.75 |
Feb-11 | 6.6 | 2.97 |
Mar-11 | 1.41 | 1.32 |
Apr-11 | 1.63 | 5.81 |
May-11 | -4.1 | 2.62 |
Jun-11 | -2.02 | -0.61 |
Jul-11 | 1.14 | -2.66 |
Aug-11 | -10.4 | -2.77 |
Sep-11 | -15.04 | -4.02 |
Oct-11 | 18.71 | 4.6 |
Nov-11 | 0.95 | -0.12 |
Dec-11 | -8.41 | -3 |
Jan-12 | 4.4 | 2.45 |
Feb-12 | 5.08 | 1.67 |
Mar-12 | -6.54 | 3.44 |
Apr-12 | -1.59 | -0.47 |
May-12 | -12.21 | -3.54 |
Jun-12 | 5.65 | 5.46 |
Jul-12 | 2.81 | -0.46 |
Aug-12 | 2.86 | 1.81 |
Sep-12 | 2.83 | 3.86 |
Oct-12 | -1.08 | -0.77 |
Nov-12 | -1.3 | 0.5 |
Dec-12 | 0.2 | -3.02 |
Jan-13 | 5.68 | 6.52 |
Feb-13 | -2.05 | 1.37 |
Mar-13 | 1.55 | 3.57 |
Apr-13 | -0.13 | 3.01 |
May-13 | 1.64 | 1.35 |
Jun-13 | -3.64 | 0.34 |
Jul-13 | 5.26 | 5.6 |
Aug-13 | -0.27 | -2.07 |
Sep-13 | 3.01 | 4.1 |
Oct-13 | 4.62 | 4 |
Nov-13 | -0.83 | 6.1 |
Dec-13 | -1.68 | -4.69 |
Jan-14 | -5.2 | 2.4 |
Feb-14 | 6.05 | 8.58 |
Mar-14 | 1.63 | -6.09 |
Apr-14 | 5.5 | -2.5 |
May-14 | 1.13 | 3.57 |
Jun-14 | 5.2 | 3.44 |
Jul-14 | -4.72 | -0.01 |
Aug-14 | 1.77 | 4.05 |
Sep-14 | -7.46 | -0.19 |
Oct-14 | -5.03 | 5.24 |
Nov-14 | -9.11 | 3.38 |
Dec-14 | -9.7 | -8.45 |
Jan-15 | -3.9 | 2.03 |
Feb-15 | 4.94 | 4.8 |
Mar-15 | -2.54 | -0.42 |
Apr-15 | 10.6 | -0.7 |
May-15 | -6.54 | 4.7 |
Jun-15 | -4.31 | -0.25 |
Jul-15 | -7.68 | 2.45 |
Aug-15 | -4.81 | -5.8 |
Sep-15 | -7.67 | -5.76 |
Oct-15 | 10.81 | 5.97 |
Nov-15 | -0.97 | 1.45 |
Dec-15 | -11.69 | -3.71 |
Jan-16 | -1.44 | -8.82 |
Feb-16 | -2.55 | -1.82 |
Mar-16 | 12.51 | -0.41 |
Apr-16 | 10.11 | 2.58 |
May-16 | -1.42 | 2.59 |
Jun-16 | 3.56 | -0.05 |
Jul-16 | -1.02 | 5.18 |
Aug-16 | 2.57 | -4.88 |
Sep-16 | 2.51 | 0.64 |
Oct-16 | -2.99 | -7.58 |
Nov-16 | 7.03 | 1.51 |
Dec-16 | 0.1 | -5.3 |
Following table shows the calculations:
Date | Energy, X | Healthcare, Y | X^2 | Y^2 | XY |
Jan-10 | -4.86 | -0.08 | 23.6196 | 0.0064 | 0.3888 |
Feb-10 | 1.9 | 0.56 | 3.61 | 0.3136 | 1.064 |
Mar-10 | 2.3 | 1.41 | 5.29 | 1.9881 | 3.243 |
Apr-10 | 3.02 | -3.76 | 9.1204 | 14.1376 | -11.3552 |
May-10 | -11.2 | -5.13 | 125.44 | 26.3169 | 57.456 |
Jun-10 | -5.77 | -0.51 | 33.2929 | 0.2601 | 2.9427 |
Jul-10 | 8.75 | 1.55 | 76.5625 | 2.4025 | 13.5625 |
Aug-10 | -5.94 | -0.99 | 35.2836 | 0.9801 | 5.8806 |
Sep-10 | 10.14 | 8.29 | 102.8196 | 68.7241 | 84.0606 |
Oct-10 | 3.87 | 2.33 | 14.9769 | 5.4289 | 9.0171 |
Nov-10 | 2.82 | -2.49 | 7.9524 | 6.2001 | -7.0218 |
Dec-10 | 5.56 | 2.3 | 30.9136 | 5.29 | 12.788 |
Jan-11 | 6.47 | 1.75 | 41.8609 | 3.0625 | 11.3225 |
Feb-11 | 6.6 | 2.97 | 43.56 | 8.8209 | 19.602 |
Mar-11 | 1.41 | 1.32 | 1.9881 | 1.7424 | 1.8612 |
Apr-11 | 1.63 | 5.81 | 2.6569 | 33.7561 | 9.4703 |
May-11 | -4.1 | 2.62 | 16.81 | 6.8644 | -10.742 |
Jun-11 | -2.02 | -0.61 | 4.0804 | 0.3721 | 1.2322 |
Jul-11 | 1.14 | -2.66 | 1.2996 | 7.0756 | -3.0324 |
Aug-11 | -10.4 | -2.77 | 108.16 | 7.6729 | 28.808 |
Sep-11 | -15.04 | -4.02 | 226.2016 | 16.1604 | 60.4608 |
Oct-11 | 18.71 | 4.6 | 350.0641 | 21.16 | 86.066 |
Nov-11 | 0.95 | -0.12 | 0.9025 | 0.0144 | -0.114 |
Dec-11 | -8.41 | -3 | 70.7281 | 9 | 25.23 |
Jan-12 | 4.4 | 2.45 | 19.36 | 6.0025 | 10.78 |
Feb-12 | 5.08 | 1.67 | 25.8064 | 2.7889 | 8.4836 |
Mar-12 | -6.54 | 3.44 | 42.7716 | 11.8336 | -22.4976 |
Apr-12 | -1.59 | -0.47 | 2.5281 | 0.2209 | 0.7473 |
May-12 | -12.21 | -3.54 | 149.0841 | 12.5316 | 43.2234 |
Jun-12 | 5.65 | 5.46 | 31.9225 | 29.8116 | 30.849 |
Jul-12 | 2.81 | -0.46 | 7.8961 | 0.2116 | -1.2926 |
Aug-12 | 2.86 | 1.81 | 8.1796 | 3.2761 | 5.1766 |
Sep-12 | 2.83 | 3.86 | 8.0089 | 14.8996 | 10.9238 |
Oct-12 | -1.08 | -0.77 | 1.1664 | 0.5929 | 0.8316 |
Nov-12 | -1.3 | 0.5 | 1.69 | 0.25 | -0.65 |
Dec-12 | 0.2 | -3.02 | 0.04 | 9.1204 | -0.604 |
Jan-13 | 5.68 | 6.52 | 32.2624 | 42.5104 | 37.0336 |
Feb-13 | -2.05 | 1.37 | 4.2025 | 1.8769 | -2.8085 |
Mar-13 | 1.55 | 3.57 | 2.4025 | 12.7449 | 5.5335 |
Apr-13 | -0.13 | 3.01 | 0.0169 | 9.0601 | -0.3913 |
May-13 | 1.64 | 1.35 | 2.6896 | 1.8225 | 2.214 |
Jun-13 | -3.64 | 0.34 | 13.2496 | 0.1156 | -1.2376 |
Jul-13 | 5.26 | 5.6 | 27.6676 | 31.36 | 29.456 |
Aug-13 | -0.27 | -2.07 | 0.0729 | 4.2849 | 0.5589 |
Sep-13 | 3.01 | 4.1 | 9.0601 | 16.81 | 12.341 |
Oct-13 | 4.62 | 4 | 21.3444 | 16 | 18.48 |
Nov-13 | -0.83 | 6.1 | 0.6889 | 37.21 | -5.063 |
Dec-13 | -1.68 | -4.69 | 2.8224 | 21.9961 | 7.8792 |
Jan-14 | -5.2 | 2.4 | 27.04 | 5.76 | -12.48 |
Feb-14 | 6.05 | 8.58 | 36.6025 | 73.6164 | 51.909 |
Mar-14 | 1.63 | -6.09 | 2.6569 | 37.0881 | -9.9267 |
Apr-14 | 5.5 | -2.5 | 30.25 | 6.25 | -13.75 |
May-14 | 1.13 | 3.57 | 1.2769 | 12.7449 | 4.0341 |
Jun-14 | 5.2 | 3.44 | 27.04 | 11.8336 | 17.888 |
Jul-14 | -4.72 | -0.01 | 22.2784 | 0.0001 | 0.0472 |
Aug-14 | 1.77 | 4.05 | 3.1329 | 16.4025 | 7.1685 |
Sep-14 | -7.46 | -0.19 | 55.6516 | 0.0361 | 1.4174 |
Oct-14 | -5.03 | 5.24 | 25.3009 | 27.4576 | -26.3572 |
Nov-14 | -9.11 | 3.38 | 82.9921 | 11.4244 | -30.7918 |
Dec-14 | -9.7 | -8.45 | 94.09 | 71.4025 | 81.965 |
Jan-15 | -3.9 | 2.03 | 15.21 | 4.1209 | -7.917 |
Feb-15 | 4.94 | 4.8 | 24.4036 | 23.04 | 23.712 |
Mar-15 | -2.54 | -0.42 | 6.4516 | 0.1764 | 1.0668 |
Apr-15 | 10.6 | -0.7 | 112.36 | 0.49 | -7.42 |
May-15 | -6.54 | 4.7 | 42.7716 | 22.09 | -30.738 |
Jun-15 | -4.31 | -0.25 | 18.5761 | 0.0625 | 1.0775 |
Jul-15 | -7.68 | 2.45 | 58.9824 | 6.0025 | -18.816 |
Aug-15 | -4.81 | -5.8 | 23.1361 | 33.64 | 27.898 |
Sep-15 | -7.67 | -5.76 | 58.8289 | 33.1776 | 44.1792 |
Oct-15 | 10.81 | 5.97 | 116.8561 | 35.6409 | 64.5357 |
Nov-15 | -0.97 | 1.45 | 0.9409 | 2.1025 | -1.4065 |
Dec-15 | -11.69 | -3.71 | 136.6561 | 13.7641 | 43.3699 |
Jan-16 | -1.44 | -8.82 | 2.0736 | 77.7924 | 12.7008 |
Feb-16 | -2.55 | -1.82 | 6.5025 | 3.3124 | 4.641 |
Mar-16 | 12.51 | -0.41 | 156.5001 | 0.1681 | -5.1291 |
Apr-16 | 10.11 | 2.58 | 102.2121 | 6.6564 | 26.0838 |
May-16 | -1.42 | 2.59 | 2.0164 | 6.7081 | -3.6778 |
Jun-16 | 3.56 | -0.05 | 12.6736 | 0.0025 | -0.178 |
Jul-16 | -1.02 | 5.18 | 1.0404 | 26.8324 | -5.2836 |
Aug-16 | 2.57 | -4.88 | 6.6049 | 23.8144 | -12.5416 |
Sep-16 | 2.51 | 0.64 | 6.3001 | 0.4096 | 1.6064 |
Oct-16 | -2.99 | -7.58 | 8.9401 | 57.4564 | 22.6642 |
Nov-16 | 7.03 | 1.51 | 49.4209 | 2.2801 | 10.6153 |
Dec-16 | 0.1 | -5.3 | 0.01 | 28.09 | -0.53 |
Total | 7.07 | 51.32 | 3129.908 | 1216.928 | 853.7943 |
Sample size: n=84
Now,
The coefficient of correlation is :
(b)
Hypotheses are:
H0: ρxy = 0; HA: ρxy ≠ 0
(c)
Test statistics:
The p-value is
p-value < 0.01
c-3:
Since p-value is less than 0.05 so we reject the null hypothesis.
Reject H0; there is enough evidence to state the returns are correlated.