covariance of returns

Q: Consider the following table:         Stock Fund   Bond Fund   Scenario Probability   Rate of…

A: Calculation of mean return and variance for stock fund and covariance between two stocks: Excel…

Q: You are managing a mutual fund with the following stocks: Stock Investment Beta A…

A: Formula : Mutual fund beta = (Weight of stock A * Beat of stock A) + (Weight of stock B * Beat of…

Q: 3. Consider three stocks A, B and C and a market index M with the following prices: Year то T1 T2…

A: Note: This question has several sub-parts. The first three have been answered below

Q: From the following information, calculate covariance between stocks A and B and expected return and…

A: Correlation between A and B = 0.65 Weight of A in portfolio = 50% Weight of B in portfolio = 50%…

Q: The metric that is used to show the extent to which a given stock’s return move up and down with the…

A: A trend is the wide upward or downward movement of a stock's price over time. Upward movement is…

Q: Capital Market Expectations Scenario Probability Rate of Return Stock fund Bond fund Severe…

A: Risk in a portfolio is an important consideration for making financial decisions on the same. Under…

Q: евоок PPOblem Walk-Through Consider the following information for stocks A, B, and C. The returns on…

A: As per our guidelines, we are supposed to answer only 3 sub-parts (if there are multiple sub-parts…

Q: 1. The market and Stock A have the following probability distributions: Return on Return on…

A: Coefficient of Variation = Standard Deviation / Average Return

Q: Consider the following table:         Stock Fund   Bond Fund   Scenario Probability   Rate of…

A: Using Excel Functions to calculate Mena variance and covariance

Q: Stock A has a standard deviation of 3.5% while stock B has a standard deviation of 4.6%. If both…

A: Standard deviation is a variation in the mean value of given data. Standard deviation is a…

Q: In a recent 5tear period, mutual fund manager Diana sharks produced the following percentage rates…

A: Dear Student Please find the below attached excel snapshot for answers:

Q: The table below is a correlation matrix for Shares A, B and C. Each cell in the table shows the…

A: Investing in negatively correlated stocks indicate that one stock moves in the opposite direction as…

Q: From the following information, calculate covariance between stocks A and B and expected return and…

A: Expected return on portfolio E(Rp) is calculated by sum product of stock returns and weight in the…

Q: Consider a stock fund and a bond fund with the following characteristics and a correlation of 0.2. A…

A: Here. Expected return of Stock Fund is 20% Expected return of Bond Fund is 12% Standard Deviation of…

Q: Rank the following funds based on Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, Sortino Ratio, M…

A:

Q: Consider the following information for stocks A, B, and C. The returns on the three stocks are…

A: Given is the  information for the stocks A, B, and C. Stock Expected Return Standard Deviation…

Q: You have been given the following return information for a mutual fund, the mark return correlation…

A: Calculation of Sharpe and Treynor ratios for the fund:The sharpe ratio and Treynor ratios are 13.77%…

Q: The following data are available relating to the performacne of Long Horn Stock Fund and the market…

A: “Since you have posted a question with multiple sub-parts, we will solve first three sub-parts for…

Q: You have been given the following return information for a mutual fund, the market index, and the…

A: The computation of Sharpe ratio and Treynor ratio is as follows:

Q: Stock 1 has a standard deviation of return of 6%. Stock 2 has a standard deviation of return of 2%.…

A: Formulas:

Q: Standard Deviation Stock fund (S) Bond fund (B) Expected Return 23% 15 28% 17 The correlation…

A: A minimum variance risk portfolio is the portfolio that has been constructed by keeping the risk to…

Q: Robert is a fund manager in Man group. He is considering three funds. The first is a stock fund, the…

A: Since you have posted a question with multiple sub-parts, we will solve the first three subparts for…

Q: CAPM, PORTFOLIO RISK. AND RETURN Consider the following information for Stocks X, Y, and Z. The…

A: Note : As per our guidelines, we can only answer up to 3 subparts only. Please post other parts…

Q: After learning the course, you divide your portfolio into three equal parts (i.e., equal market…

A: Here, Beta of Market Index is always 1 Beta of Treasury Bills is always 0 Beta of Mutual Fund is 0.8…

Q: (Expected Rate of Return and Risk) Syntex, Inc. is considering an investment in one of two common…

A: Coefficient of Variation =Standard deviation/ Mean

Q: Consider the following two investment proposals and their returns under different economic…

A: given, economic scenario probability return on GE stock  return on TI stock bear 0.5 25% -2%…

Q: Expected rate of return and​ risk) ​ Syntex, Inc. is considering an investment in one of two common…

A: Expected return is sum of weighted possible returns of a stock where weights are probability…

Q: Example 14: SBI and ICICI are two mutual funds. SBI has a sample mean of success 0.13 and fund ICICI…

A: The question is to find the risk-adjusted index and return for the mutual fund portfolio. Jensen…

Q: You have been given the following return information for a mutual fund, the market index, and the…

A: Calculation of Sharpe and Treynor ratio using excel is as follows:

Q: As an equity analyst, you have developed the following return forecasts and risk estimates for two…

A: Financial statements are statements which states the business activities performed by the company .…

Q: You wish to evaluate which of the two equity funds delivered a better risk adjusted return in terms…

A: Sharpe ratios is calculated as excess return over the risk free rate divided by the standard…

Q: 17. An analyst develops the following covariance matrix of returns: Hedge Fund Market Index Hedge…

A: Correlation between hedge fund and market index= Covariance between hedge fund and market…

Q: You have been given the following return information for a mutual fund, the market index, and the…

A: The provided table is:

Q: A stock's contribution to the market risk of a well-diversified portfolio is called risk. It can be…

A: Total risk can be measured as systematic risk and unsystematic risk.

Q: c) Stock 1 has a standard deviation of return of 1%. Stock 2 has a standard deviation of return of…

A: Portfolio is the bundle of various assets or investment. To reduce or manage the risk, investors…

Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…

A: Given the following information :    Expected return Standard deviation Stock fund (S) 17% 30%…

Q: Assume the correlation coefficient between Baker Fund and the market index is .70. What percentage…

A: The question is based on the concept of systematic risk and firm specific risk for individual stocks…

Q: The following data are available relating to the performance of Hayek Stock Fund and the market…

A: Required rate of return = Risk free rate + Beta * (Expected market return - Risk free rate)   Active…

Q: You have been given the following return information for a mutual fund, the market index, and the…

A: The Jensen's alpha is also known as Alpha and it measure is the difference between the person…

Q: Which stock do you advise Ahmed to select according to the required rate of return? And explain why?

A: Beta is an estimate of risk prevailing in the market. When risk prevailing in the economy is…

Q: QG. The following information is available about the stocks of two companies A and B: Stock A…

A: Expected rate of return is the profit or loss on the investor that is assumed to be anticipated by…

Q: The market risk premium is defined as __________. A. the difference between the return on an index…

A: Market Risk Premium refers to the additional or extra amount of return which an investor earned by…

Q: A two-share portfolio held by an institutional investor has the following information: Years (t)…

A: Hi There, thanks for posting the question. But as per Q&A guidelines, we must answer the first…

Q: You develop the following covariance matrix of returns   Hedge Fund Market Index Hedge Fund 64 42…

A: The covariance matrix is a matrix which, at the intersection of each of its rows and columns,…

Q: A person is interested in constructing a portfolio. Two stocks are being considered. Letx = percent…

A: The Total dispersion in the value of returns over a certain period of time is known as the Standard…