The correlation between the Dow Transportation Index and the Dow Retail Index is -0.73. The Transportation...
The correlation between the Dow Transportation Index and the Dow Retail Index is -0.73. The Transportation Index's standard deviation is 46% and the Retail Index's standard deviation is 50%. Calculate the covariance of the two index! Provide your answer in decimals rounded to four digits.
Homework Answers
Relation between correlation, covariance and standard deviation of 2 securities can be represented mathematically as:
Covariance = -0.1679
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The correlation between the Dow Transportation Index and the Dow
Retail Index is -0.73. The Transportation...
NFLX's standard deviation is 36% and the market's standard deviation is 29%. The correlation between the...
NFLX's standard deviation is 36% and the market's standard deviation is 29%. The correlation between the returns of NFLX and the market is 0.26. What percent of NFLX's variance is systematic? Provide your answer in percent, rounded to two decimals, omitting the % sign.
a. Compute the correlation between assets A and B if you know that the standard deviation...
a. Compute the correlation between assets A and B if you know that the standard deviation of B is 50% of the standard deviation of A and the covariance between the two assets is 0.5 times the variance of asset A. Correlation is 1 b. What is the risk (measured as the variance) of the portfolio created by investing 50% in asset A and 50% in asset B in the previous point? Assume that the variance of the asset A...
A recent study reported a correlation of 0.68 between scores on an index of depression and...
A recent study reported a correlation of 0.68 between scores on an index of depression and scores on an index that measures the amount of saturated fat intake. True or False: You can conclude that if you increase your saturated fat intake by a standard deviation, your degree of depression will increase by more than half a standard deviation.
6. Suppose the index model for stocks 1 and 2 has the following results The standard...
6. Suppose the index model for stocks 1 and 2 has the following results The standard deviations of e1 and e2 are 20% and 25% respectively. (1) Calculate the standard deviation of stock 1 and stock 2. (2) What is the covariance between each stock and the market index (3) What are the covariance and correlation coefficient between these two stocks? (4) Break down the variance of each stock into its systematic and firm-specific component.
If the correlation coefficient between two variables is 0.5 and the standard deviation of the variables...
If the correlation coefficient between two variables is 0.5 and the standard deviation of the variables is 5 and 10, respectively, then the sample covariance is approximately ... a. 25 b. 50 c. 250 d. Impossible to determine with any level of accuracy.
Between 1896 when the Dow Jones Index was created and 2009, the index rose in 64%...
Between 1896 when the Dow Jones Index was created and 2009, the index rose in 64% of the years. Sample size is 5 years. Based on this information and assuming a binomial distribution, answer the following questions Build the probability distribution Build the cumulative distribution Graph the probability and cumulative distribution Find the probability the stock market will rise one year in the next five years? Find the probability the stock market will rise in three years of the next...
If the correlation between asset X and asset Y is 0.6 and the standard deviations are...
If the correlation between asset X and asset Y is 0.6 and the standard deviations are 4% and 6% respectively. What is the covariance between the two assets? What is the standard deviation for the portfolio of these two assets if the weight of asset X and 40% and asset B is 60%?
Suppose that the index model for stocks A and B is estimated from excess returns with...
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: Ra : 3% + 0.7 Rm + ea Rs--2% + 1.2 Rm + eb What is the standard deviation for each stock? Break down the variance of each stock to the systematic and firm-specific components What are the covariance and correlation coefficient between the two stocks? What is the covariance between each stock and the market index? Are the intercepts of...
A value-weighted index consisting of stocks A, B, and C was created yesterday. When the index...
A value-weighted index consisting of stocks A, B, and C was created yesterday. When the index was created, stocks A,B, and C traded for $80, $45, and $125, respectively. The number of shares outstanding for A,B, and C, was 500, 900, and 600 when the index was formed. Today, stocks A, B, and C trade for $65, $50, and $145, respectively. Find the return on the index from yesterday to today Round intermediate steps and your final answer to four...
Calculate the correlation of the two stocks below based on the scenario forecasts given: Probability Atlantis...
Calculate the correlation of the two stocks below based on the scenario forecasts given: Probability Atlantis Co. Baltazaar Inc. Boom 0.3 6 14% Normal 0.6 4 4% Bust 0.1 -10% -6% Provide your answer in decimals, rounded to two decimals.
6. Suppose the index model for stocks 1 and 2 has the following results The standard deviations of e1 and e2 are 20% and 25% respectively. (1) Calculate the standard deviation of stock 1 and stock 2. (2) What is the covariance between each stock and the market index (3) What are the covariance and correlation coefficient between these two stocks? (4) Break down the variance of each stock into its systematic and firm-specific component.
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: Ra : 3% + 0.7 Rm + ea Rs--2% + 1.2 Rm + eb What is the standard deviation for each stock? Break down the variance of each stock to the systematic and firm-specific components What are the covariance and correlation coefficient between the two stocks? What is the covariance between each stock and the market index? Are the intercepts of...
A value-weighted index consisting of stocks A, B, and C was created yesterday. When the index was created, stocks A,B, and C traded for $80, $45, and $125, respectively. The number of shares outstanding for A,B, and C, was 500, 900, and 600 when the index was formed. Today, stocks A, B, and C trade for $65, $50, and $145, respectively. Find the return on the index from yesterday to today Round intermediate steps and your final answer to four...
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