28 The Basics of financial economeTrics
taBLe 2.2 (continued)
Month Market Excess Return Excess Return for Fund A Excess Return for Fund B05/31/1998 –2.12 –1.65 –1.70
06/30/1998 3.65 2.96 3.65
07/31/1998 –1.46 –0.30 –2.15
08/31/1998 –14.89 –16.22 –13.87
09/30/1998 5.95 4.54 4.40
10/31/1998 7.81 5.09 4.24
11/30/1998 5.75 4.88 5.25
12/31/1998 5.38 7.21 6.80
01/31/1999 3.83 2.25 2.76
02/28/1999 –3.46 –4.48 –3.36
03/31/1999 3.57 2.66 2.84
04/30/1999 3.50 1.89 1.85
05/31/1999 –2.70 –2.46 –1.66
06/30/1999 5.15 4.03 4.96
07/31/1999 –3.50 –3.53 –2.10
08/31/1999 –0.89 –1.44 –2.45
09/30/1999 –3.13 –3.25 –1.72
10/31/1999 5.94 5.16 1.90
11/30/1999 1.67 2.87 3.27
12/31/1999 5.45 8.04 6.65
01/31/2000 –5.43 –4.50 –1.24
02/29/2000 –2.32 1.00 2.54
03/31/2000 9.31 6.37 5.39
04/30/2000 –3.47 –4.50 –5.01
05/31/2000 –2.55 –3.37 –4.97
06/30/2000 2.06 0.14 5.66
07/31/2000 –2.04 –1.41 1.41
08/31/2000 5.71 6.80 5.51
09/30/2000 –5.79 –5.24 –5.32
10/31/2000 –0.98 –2.48 –5.40
11/30/2000 –8.39 –7.24 –11.51
12/31/2000 –0.01 2.11 3.19
01/31/2001 3.01 –0.18 4.47
02/28/2001 –9.50 –5.79 –8.54
03/31/2001 –6.75 –5.56 –6.23
04/30/2001 7.38 4.86 4.28
05/31/2001 0.35 0.15 0.13
06/30/2001 –2.71 –3.76 –1.61
07/31/2001 –1.28 –2.54 –2.10
08/31/2001 –6.57 –5.09 –5.72