expected12. The following table lists returns on the market portfolioand on Scientific Atlanta, each year from 1989 to 1998,Year1989Scientific Atlanta80.95%08 ASMarket Portfolio08.102.89 31.49%1990-47.37125.AS -3.17 per1991OVED 19923103.100.26 30.57132.44ova bid 7.58199332.0210.36199425.372.551995-28.5737.5719960.0022.68BOY 199711.67133.10-199836.1928.32a. Estimate the covariance in returns between Scien-tific Atlanta and the market portfolio. lol Tab. Estimate the variances in returns for ScientificAtlanta and the market, be stillc. Estimate the beta for Scientific Atlanta.A

YearsScientific AtlantaMarket…

expe 2. The following table lists returns on the market portf and on Scientific Atlanta, each year from 1989 to 19 Scientific Atlanta 80.95% Year 1989 -47.37 08.AS Market Portfolio одеге 02.8% 31.49% 1 201 2S.AS -3.17 per 30.57

expe 2. The following table lists returns on the market portf and on Scientific Atlanta, each year from 1989 to 19 Scientific Atlanta 80.95% Year 1989 -47.37 08.AS Market Portfolio одеге 02.8% 31.49% 1 201 2S.AS -3.17 per 30.57

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

Problem 1PS

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Question

expected
12. The following table lists returns on the market portfolio
and on Scientific Atlanta, each year from 1989 to 1998,
Year
1989
Scientific Atlanta
80.95%
08 AS
Market Portfolio
08.1
02.89 31.49%
1990
-47.371
25.AS -3.17 per
1991
OVED 1992
31
03.1
00.26 30.57
132.44
ova bid 7.58
1993
32.02
10.36
1994
25.37
2.55
1995
-28.57
37.57
1996
0.00
22.68
BOY 1997
11.67
133.10
-1998
36.19
28.32
a. Estimate the covariance in returns between Scien-
tific Atlanta and the market portfolio. lol T
ab. Estimate the variances in returns for Scientific
Atlanta and the market, be still
c. Estimate the beta for Scientific Atlanta.
A

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Data are given as follows: (all the values are in percent) Month Average portfolio return market Average Average risk-free return rate 2.464 3.360 0.090 16.130 2.348 0.090 0.771 -1.484 0.120 -6.386 -2.437 0.120 15 -2.861 1.965 0.090 16 -7.673 2.806 0.120 0.805 -5.721 0.150 -0.372 0.327 0.150 1.508 2.464 0.150 10 2.003 2.250 0.150 11 -4.723 6.639 0.210 12 Calculate Treynor measure, Sharpe ratio, tracking error, information ratio, and hit ratio. Then, evaluate the performance of this portfolio. 2.383 4.874 0.210
ery//ua/69158/45467554/aHR0cHM6Ly9mMS5hcHAUZW t Activity: Mathematical Models and Investments Part C The table gives prices for gold and the New York Stock Exchange Composite Index, which is a fund that averages all the stocks listed on the exchange. The Bureau of Labor Statistics says the inflation rate between 1980 and 2010 was 174%, or about 3.5% a year. Using the data in the table, compare the volatility and returns of gold and the index fund. Finally, use the inflation rate to compare the real rates of return of the two investments. If a friend invested $1,000 in 1980, which investment would make her the most money? Gold (one ounce) NYSE Composite BIU X² X₂ Jan. 1980 $850 $682 15px Jan. 1990 $406 $1,937 Space used (includes formatting): 0/ 15000 O A 2 Jan. 2000 $287 $6,772 1 2 Jan. 2010 $1,104 $7,140 Return 30% 947% 田く 7 of 11 Apr 15 Annual Return 1% Part D Eliza has only one investment: $15,000 in stock shares of IFruit Computing. The stock's annual returns for the last 10 years…
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Question 1 Refer to the following observations for stock A and the market portfolio in the table:Month Stock A Market portfolio1 0.30 0.122 0.24 0.083 -0.04 -0.104 0.10 -0.025 0.06 0.086 0.10 0.07 a) Calculate the main statistic measures to explain the relationship between stock A and the market portfolio:• The sample covariance between rate of return for the stock A and the market;• The sample Beta factor of stock A;• The sample correlation coefficient between the rates of return of the stock A and the market
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Consider the following bootstrapped 3-year performance of an actively managed investor's portfolio and a relevant benchmark: Investor's Portfolio Benchmark Portfolio Iteration Portfolio Value Portfolio Portfolio Value Portfolio Return t=3 Return p.a. t=3 р.а. 1 1.3 9.1% 1.2 6.3% 0.9 -3.5% 0.9 -3.5% 3 0.9 -3.5% 0.8 -7.2% 4 1.2 6.3% 1.1 3.2% 5 1.3 9.1% 1.2 6.3% What is the tracking error of investor's portfolio relative to the benchmark (compounded outperformance) over 3 years (rounded to one decimal place)? Select one: O a. 1.4% ОБ. 2.7% O. 4.5% O d. 4.6% O e. None of the above
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Q8. Composite Portfolio Performance Measures Big Rock has several investment portfolios with a local mutual fund company. One of the company's directors asked you to assess the performance of five of the portfolios. Portfolio Return Beta Standard Deviation Risk Free Rate A 12.5% 1.2 4% 3% 10% 1.2 5% 4% E 3% 0.8 6% 6% a. What is the Sharpe measure of: i. Portfolio A? ii. Portfolio C? iii. Portfolio E?
onsider the historical return data of ABC portfolio as below. 1990 4% 1991 10% 1992 2% 1993 1% 1994 5% 1995 -1% 1996 7% 1997 -3% 1998 0% 1999 3% What is the sample (empirical) probability that return is greater than or equal to 4%? Why?
14. There are three securities in the market whose return on market portfolio yield the following results : reg rfood rmrf Source SS df MS Number of obs 516 F (1, 514) 763.49 %3D Model 6355.67324 6355.67324 Prob > F 0.0000 Residual 4278.81044 514 8.32453393 R-squared 0.5976 %3D Adj R-squared 0.5969 Total 10634.4837 515 20.6494829 Root MSE 2.8852 rfood Coef. Std. Err. P>|t| [95% Conf. Interval] rmrf .7834176 .0283526 27.63 0.000 .7277164 .8391188 _cons .3391769 .1275602 2.66 0.008 .0885734 .5897804 i. reg rdur rmrf Source SS df MS Number of obs 516 %3D F (1, 514) 1458.52 %3D Model 12789.402 1 12789.402 Prob > F 0.0000 %3D 4507.13047 R-squared Adj R-squared Residual 514 8.76873633 0.7394 %3D 0.7389 Total 17296.5324 515 33.5854999 Root MSE 2.9612 rdur Coef. Std. Err. P>|t]| [95% Conf. Interval] rmrf 1.111316 .0290992 38.19 0.000 1.054148 1.168484 _cons .063612 .1309193 0.49 0.627 -.1935907 .3208148 ii. reg rcon rmrf Source SS df MS Number of obs 516 F (1, 514) 2096.01 Model 13866.0296 1…
financial advisor evaluates four stocks for inclusion in an investor's portfolio. A orrelation matrix showing each stock's correlation with the other stocks is shown below Stock ALK CMN BTY DLE ALK 0.40 0.58 1.00 -0.25 BTY 0.40 1.00 0.16 -0.04 CMN -.25 .16 1.00 .37 DLE .58 .04 .37 1.00 f the goal is to reduce the investor's overall portfolio risk, which two stocks should the advisor recommend? a. ALK and DLE b. ALK and CMN c. BTY and DLE BTY and CM

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