Use the data shown in the following table:Ka. Compute the average return for each of the assets from 1929 to 1940 (the Great Depression).b. Compute the variance and standard deviation for each of the assets from 1929 to 1940.c. Which asset was the riskiest during the Great Depression? How does that fit with your intuition?Note: For all your answers type decimal equivalents.Data tableYear192919301931193219331934193519361937193819391940S&P 500-0.08906-0.25256- 0.43861-0.088540.52880-0.023410.472210.32796-0.352580.33204-0.00914- 0.10078Small Stocks- 0.43081-0.44698-0.54676-0.004712.161380.571950.691120.70023- 0.561310.089280.04327-0.28063Corp. Bonds0.043200.06343-0.023800.121990.052550.097280.068600.062190.025460.043570.042470.04512World Portfolio-0.07692-0.22574-0.393050.030300.664490.025520.227820.19283-0.169500.05614-0.014410.03528Treasury Bills0.044710.022660.011530.008820.005160.002650.001710.001730.002670.000600.000420.00037CPI0.00585- 0.06395- 0.09317-0.102740.007630.015150.029850.014490.02857-0.027780.000000.00714X

Step 1: Calculate the annual returns for each asset from 1929 to 1940.To compute the annual returns,…

Use the data shown in the following table: a. Compute the average return for each of the assets from 1929 to 1940 (the Great Depression). b. Compute the variance and standard deviation for each of the assets from 1929 to 1940. c. Which asset was the riskiest during the Great Depression? How does that fit with your intuition? Note: For all your answers type decimal equivalents.

Use the data shown in the following table: a. Compute the average return for each of the assets from 1929 to 1940 (the Great Depression). b. Compute the variance and standard deviation for each of the assets from 1929 to 1940. c. Which asset was the riskiest during the Great Depression? How does that fit with your intuition? Note: For all your answers type decimal equivalents.

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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Consider that you have $4,332,989 to invest across three assets using the price weighted methodology. Your analysis of these assets has provided the information in the two tables below. (Note: numbers in red are negative) Asset Price at beginning of the year (in $) Expected price at the end of the year (in $) Standard deviation (%) Correlation A B C A 1.00 0.84 0.78 c. In dollars and cents, what is the expected value of this portfolio after 12 months? d. What is the standard deviation of this portfolio, in percentage terms? A B 155.55 137.22 182.22 164.77 42.11 Required a. What is the expected compound annual growth rate of return for this portfolio, in percentage terms? b. What is the expected continuously compounded return on this portfolio in percentage terms? B 0.84 1.00 0.44 41.50 с 0.78 0.44 1.00 C 88.14 104.12 42.33
Suppose that sending an analyst to an executive education program will raise the precision of the analyst’s forecasts as measured by R-square by .01. How might you put a dollar value on this improvement? Provide a numerical example.
Assuming that the rates of return associated with a given asset investment are normally distributed; that the expected return, r, is 18.7%; and that the coefficient of variation, CV, is 1.88, answer the following questions: a. Find the standard deviation of returns, sigma Subscript rσr. b. Calculate the range of expected return outcomes associated with the following probabilities of occurrence: (1) 68%, (2) 95%, (3) 99%.
es Suppose the returns on an asset are normally distributed. The historical average annual return for the asset was 5.7 percent and the standard deviation was 18.3 percent. a. What is the probability that your return on this asset will be less than -4.1 percent in a given year? Use the NORMDIST function in Excel® to answer this question. (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) b. What range of returns would you expect to see 95 percent of the time? (Enter your answers for the range from lowest to highest. A negative answer should be indicated by a minus sign. Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c. What range of returns would you expect to see 99 percent of the time? (Enter your answers for the range from lowest to highest. A negative answer should be indicated by a minus sign. Do not round intermediate calculations and enter…
Fill in the blanks with the number that corresponds to the correct word or phrse below: 1. Deflation 2. GDP deflator 3. Consumer price index (CPI) 4. base 5. Labor statistics 6. Employment cost index 7. dollar 8. Producer price index 9. International price index 10. Consumer expenditure survey 11. Percentage change 12. indices Price are created to calculate an overall average change in relative prices over time. To convert the money spent on the market basket of goods, to an index number, economists arbitrarily choose one year to be the year, or starting point from which we measure changes in prices. The year, by definition, has an index number equal to 100. The inflation rate is not derived by subtracting the index numbers, but rather through the calculation. Index numbers have no signs or other units attached to them. The most commonly cited measure of inflation in the United States is the The Bureau of is responsible for the computation of the Consumer Price Index. is a national…
Calculate the standard deviation of the following returns. Year Return 1 0.01 2 0.27 3 0.02 4 0.02 5 0.22 Enter the answer with 4 decimals, e.g. 0.1234.
Remember, the expected value of a probability distribution is a statistical measure of the average (mean) value expected to occur during all possible circumstances. To compute an asset’s expected return under a range of possible circumstances (or states of nature), multiply the anticipated return expected to result during each state of nature by its probability of occurrence. Consider the following case: James owns a two-stock portfolio that invests in Blue Llama Mining Company (BLM) and Hungry Whale Electronics (HWE). Three-quarters of James’s portfolio value consists of BLM’s shares, and the balance consists of HWE’s shares. Each stock’s expected return for the next year will depend on forecasted market conditions. The expected returns from the stocks in different market conditions are detailed in the following table: Market Condition Probability of Occurrence Blue Llama Mining Hungry Whale Electronics Strong 0.25 27.5% 38.5% Normal 0.45 16.5% 22% Weak 0.30 -22%…
options are: regression moving average weighted moving average correlation exponential smoothing
in native forecast the estimate for the next period is equal to forecast to the past period True or False?
1)Find the forecast for 2012 using the time series trend method. Period Demand 2007 200 2008 150 2009 125 2010 100 2011 50 2) Find the forecast for all possible periods N=3, using the data and the moving average method.
Find the numerical value of factor (F/A,19%,20) using: a) the interpolation. b) the formula.
The expected market return and risk for different assumptions about the state of the economy is shown below. State of Economy Probability of State Expected Market Return Fast growth 0.11 35% Slow growth 0.50 16% No growth 0.20 5% Recession 0.15 -22% Depression 0.04 -32% Compute the expected return and standard deviation. Note: Round your answers to 2 decimal places. Compute the expected return and risk for the following 2 scenarios: Note: Round your answers to 2 decimal places. Scenario 1: State of Economy Probability of State Expected Market Return Fast growth 0.09 38% Slow growth 0.33 16% No growth 0.36 2% Recession 0.19-18% Depression 0.03 -32% Scenario 2: State of Economy Probability of State Expected Market Return Fast growth 0.16 40% Slow growth 0.31 13% No growth 0.38 2% Recession 0.12-17% Depression 0.03 -33%

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