Find the covariance of the returns of the two assets below. These are historical returns so...
Find the covariance of the returns of the two assets below. These are historical returns so each outcome is equally likely.
Year Asset A Asset B
2007 30.0% 15.0%
2008 - 8.0% 22.7%
2009 2.0% -14%
2010 7.5% 2.8%
2010 1.0% 12.0%
Homework Answers
Let Returns for A be denoted by X and For B by Y
Average return of A = x = (0.30 - 0.08 + 0.02 + 0.075 + 0.01)/5 = 0.065
Average return of B = y = (0.15 + 0.227 - 0.14 + 0.028 + 0.12)/5 = 0.077
Covariance = Σ (X - x)(Y - y) / N
= [ (0.30-0.065)(0.15-0.077) + (-0.08-0.065)(0.227-0.077) + (0.02-0.065)(-0.14-0.077) + (0.075-0.065)(0.028-0.077) + (0.01-0.065)(0.12-0.077) ]/5
= 0.000463
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Find the covariance of the returns of
the two assets below. These are historical returns so...
- 10.0 2. Consider the two assets A and B for which returns (%) under different...
- 10.0 2. Consider the two assets A and B for which returns (%) under different conditions of economy are given as below. Find the expected return and risk (as measured by standard deviation of return) of each asset. Returns Condition of Economy Prob. Stock A Stock B Recession 0.10 -18.0 Below avg. 0.20 14.0 2.0 Average 0.40 12.0 8.0 Above avg. 0.20 24.0 12.0 Boom 30.0 18.0 1.00 0.10
Use the following historical stock returns for GAF, Inc. to answer questions 19 and 20: Year...
Use the following historical stock returns for GAF, Inc. to answer questions 19 and 20: Year Annual Stock Return 2005 13% 2006 1% 2007 -6% 2008 19% 2009 39% 2010 46% 2011 6% 2012 -4% 2013 14% 2014 -6% 2015 8% 2016 0% 2017 16% 2018 22% 19. What was the average annual historical return for GAF, Inc. over the 14 year period? 20. What was the standard deviation of returns for GAF, Inc. stock over the 14 year time...
2005 Use the following historical stock returns for GAF, Inc. to answer questions 19 and 20:...
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Use the following yearly rate of return valoes for Questions 1, 2, 3, and4. Market Risk-frre...
Use the following yearly rate of return valoes for Questions 1, 2, 3, and4. Market Risk-frre Year Stock A Stock B Stock C retura return 2008 9.0% 8.0% 11.0% 10.0% 1.0% 2009 10.0% 11.0% 3.0% 9.0% 10% 2010 -3.0% 6.0% -6.0% 8.0% 10% 2011 -3.0% -110% -11.0% -15.0% 1.0n% 2012 9.0 % 3.0% 6.% 6.0% 10% 2013 -8.0% -4.0% -2.0% 20% 10% 2014 11.0% 15.% 13.0% 6.0% 10% -2.0% 10% 2015 -9.0% -5.0% -5.0% 2016 3.0% 1.0% 10.0% 14.0% 14.0%...
Use the following historical stock returns for GAF, Inc. to answer questions 19 and 20: Annual...
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Question 5 3 pts Consider two assets, A and B, with the following equally likely rates...
Question 5 3 pts Consider two assets, A and B, with the following equally likely rates of return: A will return either 3%, 6%, or 3.5%. B will return either 2.5%, 8%, or 7.5 Asset A Asset B 3.5% 7.5% 3.0% 6.0% 8.0% 2.5% Find the expected rates of return for assets A and B. Which asset would an investor, who cares only about expected return and risk and can choose only one or the other, prefer? A is better...
The realized returns for stock A and stock B from 2004-2009 are provided in the table...
The realized returns for stock A and stock B from 2004-2009 are provided in the table below Year 2004 2005 2006 2007 2008 2009 Stock A -9% 21% 6% -4% 3% 10% Stock B 23% 9% 32% -1% -6% 27% (a) Calculate the expected returns (as percents) over the next year for the stocks assuming the average annual realized returns and past volatility from 2004-2009 are unbiased estimators of expected returns and future volatility. stock A 4.5 stock B 14...
The realized returns for stock A and stock B from 2004–2009 are provided in the table...
The realized returns for stock A and stock B from 2004–2009 are provided in the table below Year 2004 2005 2006 2007 2008 2009 Stock A −9% 21% 6% −4% 3% 10% Stock B 19% 5% 28% −5% −10% 23% (a) Calculate the expected returns (as percents) over the next year for the stocks assuming the average annual realized returns and past volatility from 2004–2009 are unbiased estimators of expected returns and future volatility. stock A %stock B % Calculate...
SnowGeese File: Trial Diet WtChange DigEff ADFiber 1 Plants -6.0 0.0 28.5 2 Plants -5.0 2.5 ...
SnowGeese File:
Trial Diet WtChange
DigEff ADFiber
1 Plants -6.0 0.0
28.5
2 Plants -5.0 2.5
27.5
3 Plants -4.5 5.0
27.5
4 Plants 0.0 0.0
32.5
5 Plants 2.0 0.0
32.0
6 Plants 3.5 1.0
30.0
7 Plants -2.0 2.5
34.0
8 Plants -2.5 10.0
36.5
9 Plants -3.5 20.0
28.5
10 Plants -2.5 12.5
29.0
11 Plants -3.0 28.0
28.0
12 Plants -8.5 30.0
28.0
13 Plants -3.5 18.0
30.0
14 Plants -3.0 15.0
31.0
15 Plants -2.5 ...
- 10.0 2. Consider the two assets A and B for which returns (%) under different conditions of economy are given as below. Find the expected return and risk (as measured by standard deviation of return) of each asset. Returns Condition of Economy Prob. Stock A Stock B Recession 0.10 -18.0 Below avg. 0.20 14.0 2.0 Average 0.40 12.0 8.0 Above avg. 0.20 24.0 12.0 Boom 30.0 18.0 1.00 0.10
Use the following historical stock returns for GAF, Inc. to answer questions 19 and 20: Year Annual Stock Return 2005 13% 2006 1% 2007 -6% 2008 19% 2009 39% 2010 46% 2011 6% 2012 -4% 2013 14% 2014 -6% 2015 8% 2016 0% 2017 16% 2018 22% 19. What was the average annual historical return for GAF, Inc. over the 14 year period? 20. What was the standard deviation of returns for GAF, Inc. stock over the 14 year time...
2005 Use the following historical stock returns for GAF, Inc. to answer questions 19 and 20: Year Annual Stock Return 13% 2006 1% 2007 -6% 2008 19% 2009 39% 46% 2011 6% 2012 -4% 2013 14% 2014 -6% 2015 8% 2016 0% 2017 16% 2018 22% 2010 19. What was the average annual historical return for GAF, Inc. over the 14 year period? 20. What was the standard deviation of returns for GAF, Inc. stock over the 14 year time...
Use the following yearly rate of return valoes for Questions 1, 2, 3, and4. Market Risk-frre Year Stock A Stock B Stock C retura return 2008 9.0% 8.0% 11.0% 10.0% 1.0% 2009 10.0% 11.0% 3.0% 9.0% 10% 2010 -3.0% 6.0% -6.0% 8.0% 10% 2011 -3.0% -110% -11.0% -15.0% 1.0n% 2012 9.0 % 3.0% 6.% 6.0% 10% 2013 -8.0% -4.0% -2.0% 20% 10% 2014 11.0% 15.% 13.0% 6.0% 10% -2.0% 10% 2015 -9.0% -5.0% -5.0% 2016 3.0% 1.0% 10.0% 14.0% 14.0%...
Use the following historical stock returns for GAF, Inc. to answer questions 19 and 20: Annual Stock Return Year 2005 13% 2006 1% 2007 -6% 2008 19% 2009 39% 2010 46% 2011 6% 2012 -4% 2013 14% 2014 -6% 2015 8% 0% 2016 2017 16% 2018 22% 19. What was the average annual historical return for GAF, Inc. over the 14 year period? 20. What was the standard deviation of retuns for GAF, Inc. stock over the 14 year time...
5-12 Portfolio return and standard deviation Jamie Wong is considering building a portfolio containing two assets, L and M. Asset L will represent 40% of the dollar value of the portfolio, and asset M will account for the other 60%. The expected returns over the next 6 years, 2004–2009, for each of these assets, are shown in the following table. Expected return Asset L Asset M Year 20% 14% 14 16 2004 2005 2006 2007 2008 2009 17 a. Calculate...
Question 5 3 pts Consider two assets, A and B, with the following equally likely rates of return: A will return either 3%, 6%, or 3.5%. B will return either 2.5%, 8%, or 7.5 Asset A Asset B 3.5% 7.5% 3.0% 6.0% 8.0% 2.5% Find the expected rates of return for assets A and B. Which asset would an investor, who cares only about expected return and risk and can choose only one or the other, prefer? A is better...
The realized returns for stock A and stock B from 2004-2009 are provided in the table below Year 2004 2005 2006 2007 2008 2009 Stock A -9% 21% 6% -4% 3% 10% Stock B 23% 9% 32% -1% -6% 27% (a) Calculate the expected returns (as percents) over the next year for the stocks assuming the average annual realized returns and past volatility from 2004-2009 are unbiased estimators of expected returns and future volatility. stock A 4.5 stock B 14...
SnowGeese File:
Trial Diet WtChange
DigEff ADFiber
1 Plants -6.0 0.0
28.5
2 Plants -5.0 2.5
27.5
3 Plants -4.5 5.0
27.5
4 Plants 0.0 0.0
32.5
5 Plants 2.0 0.0
32.0
6 Plants 3.5 1.0
30.0
7 Plants -2.0 2.5
34.0
8 Plants -2.5 10.0
36.5
9 Plants -3.5 20.0
28.5
10 Plants -2.5 12.5
29.0
11 Plants -3.0 28.0
28.0
12 Plants -8.5 30.0
28.0
13 Plants -3.5 18.0
30.0
14 Plants -3.0 15.0
31.0
15 Plants -2.5 ...
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