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The following table contains annual returns on stocks and Treasury bonds for 20 years. Mkt-RF 30-day T-bills 10-year T-bonds Large Stocks 5.89 14.4891 -11.71 2000 -17.6 2001 -15.2 3.78 2002 -22.76 1.63 2003 30.75 2004 10.72 2005 3.09 1.02 1.20 2.96 2006 10.6 4.79 2007 1.04 4.67 2008 -38.34 1.47 2009 28.26 0.10 2010 17.37 0.12 4.0302 14.6641 1.2778 5.1862 3.103 2.2713 9.6431 17.6664 -5.8278 7.4457 -11.42 -21.13 31.77 11.92 6.05 15.39 5.71 -36.87 28.36 17.49

The following table contains annual returns on stocks and Treasury bonds for 20 years. Mkt-RF 30-day T-bills 10-year T-bonds Large Stocks 5.89 14.4891 -11.71 2000 -17.6 2001 -15.2 3.78 2002 -22.76 1.63 2003 30.75 2004 10.72 2005 3.09 1.02 1.20 2.96 2006 10.6 4.79 2007 1.04 4.67 2008 -38.34 1.47 2009 28.26 0.10 2010 17.37 0.12 4.0302 14.6641 1.2778 5.1862 3.103 2.2713 9.6431 17.6664 -5.8278 7.4457 -11.42 -21.13 31.77 11.92 6.05 15.39 5.71 -36.87 28.36 17.49

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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The following table contains annual returns on stocks and Treasury bonds for 20 years. Mkt-RF 30-day T-bills 10-year T-bonds Large Stocks 14.4891 -11.71 2000 -17.6 2001 -15.2 2002 -22.76 2003 30.75 2004 10.72 2005 3.09 2006 10.6 2007 1.04 5.89 3.78 1.63 1.02 1.20 2.96 4.79 4.67 2008 -38.34 1.47 2009 28.26 0.10 2010 17.37 0.12 4.0302 14.6641 1.2778 5.1862 3.103 2.2713 9.6431 17.6664 -5.8278 7.4457 -11.42 -21.13 31.77 11.92 6.05 15.39 5.71 -36.87 28.36 17.49
Transcribed Image Text:The following table contains annual returns on stocks and Treasury bonds for 20 years. Mkt-RF 30-day T-bills 10-year T-bonds Large Stocks 14.4891 -11.71 2000 -17.6 2001 -15.2 2002 -22.76 2003 30.75 2004 10.72 2005 3.09 2006 10.6 2007 1.04 5.89 3.78 1.63 1.02 1.20 2.96 4.79 4.67 2008 -38.34 1.47 2009 28.26 0.10 2010 17.37 0.12 4.0302 14.6641 1.2778 5.1862 3.103 2.2713 9.6431 17.6664 -5.8278 7.4457 -11.42 -21.13 31.77 11.92 6.05 15.39 5.71 -36.87 28.36 17.49
2011 0.44 2012 16.28 2013 35.2 2014 11.7 2015 0.07 2016 13.3 2017 21.5 2018 -6.93 0.04 0.06 0.03 0.02 0.01 0.19 0.79 1.71 16.6015 3.5862 -6.9025 10.1512 1.0665 0.7039 2.8034 0.0426 0.48 16.34 35.23 11.72 0.08 13.49 22.29 -5.22 2019 28.28 2.15 8.2622 Please use Microsoft Excel to analyze the risk-return trade-off that would have characterized portfolios constructed from large stocks and long-term Treasury bonds over the 20 years. 30.43 1. What were the average rate of return and standard deviation of each asset? 2. What was the correlation coefficient of their annual returns? 3. What would have been the average return and standard deviation of portfolios with differing weights in the two assets? For example, consider weights in stocks starting at zero and incrementing by 0.10 up to a weight of 1. 4. What were the average return and standard deviation of the minimum-variance combination of stocks and bonds?
Transcribed Image Text:2011 0.44 2012 16.28 2013 35.2 2014 11.7 2015 0.07 2016 13.3 2017 21.5 2018 -6.93 0.04 0.06 0.03 0.02 0.01 0.19 0.79 1.71 16.6015 3.5862 -6.9025 10.1512 1.0665 0.7039 2.8034 0.0426 0.48 16.34 35.23 11.72 0.08 13.49 22.29 -5.22 2019 28.28 2.15 8.2622 Please use Microsoft Excel to analyze the risk-return trade-off that would have characterized portfolios constructed from large stocks and long-term Treasury bonds over the 20 years. 30.43 1. What were the average rate of return and standard deviation of each asset? 2. What was the correlation coefficient of their annual returns? 3. What would have been the average return and standard deviation of portfolios with differing weights in the two assets? For example, consider weights in stocks starting at zero and incrementing by 0.10 up to a weight of 1. 4. What were the average return and standard deviation of the minimum-variance combination of stocks and bonds?
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