not use ai please Average Annual RatesStandard DeviationT-BillsInflationReal T-BillT-BillsInflationReal T-BillFull sample3.381.600.463.124.003.761927-19510.951.79-0.471.246.046.331952-20214.263.460.813.132.892.12MarketBig/Big/Small/Small/(1927-2021)Mean excess return (annualized)Standard deviation (annualized)Index8.2918.52GrowthValueGrowthValue8.0711.698.9915.3818.3524.7026.0628.21Suppose that the inflation rate is expected to be 1.60% in the near future using the historical data provided in Table 5.3 and Table 5.5,what would be your predictions for the following?Note: Round your answers to 2 decimal places.a. The T-bill rate?b. The expected rate of return on the Big/Value portfolio?c. The risk premium on the stock market?%%Remainsunchanged

Final Answers: a. T-bill rate: 2.06%b. Expected rate of return on the Big/Value portfolio: 13.75%c.…

Answered: Average Annual Rates Standard Deviation…

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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What is the variance of the following returns? State probability return Boom .2 .75 normal .55 .25 recession .15 -.1 depression .1 -.5 a. .0413 b. .01239 c. .1944 d. .2601 e. .3519
Using historical risk premiums from Table 5.5 over the 1927-2018 period as your guide, what would be your estimate of the expected annual HPR on the Big/Value portfolio if the current risk-free interest rate is 2.35% ? (Round your answer to 2 decimal places.) Expected annual HPR %
Dependent Variable: PORTFOLIO Method: Least Squares Sample: 1991M01 2009M12 Included observations: 228 Variable с MARKET SIZE VALUE MOMENTUM R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient Std. Error t-Statistic 0.003080 0.002256 1.364876 0.0037 0.580669 0.054438 10.66651 0.0000 0.752523 0.057275 13.13866 0.0000 0.054039 0.059387 0.909954 0.3638 0.056782 1.044482 0.2974 0.595842 0.032935 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Prob. 457.2243 Hannan-Quinn criter. 82.19105 Durbin-Watson stat 0.000000 0.007051 0.051348 -3.966880 -3.891675 -3.936537 1.693594 1) Is the model statically significant? Make sure to justify your answer. Write down the model equation (5 marks)
Use the following returns for X and Y. Year 12345 Returns X 21.6% -16.6 9.6 19.2 4.6 Y 25.8% -3.6 27.8 -14.2 31.8 a. Calculate the average returns for X and Y. Note: Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16. a. Average return b. Variance c. Standard deviation b. Calculate the variances for X and Y. Note: Do not round intermediate calculations and round your answer to 6 decimal places, e.g., .161616. c. Calculate the standard deviations for X and Y. Note: Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16. X % % % %
v. 2
Draw standadr deviation on x-axis and return on y-axis return Standadr deviation 2023 4.54% 6.4% 2022 -3.3% 9.9% 2021 3.73% 6.0% 2020 3.0% 6.4% 2019 3.9% 4.19%
Coefficient of Variation A standardized measure of the risk per unit of return. Coefficient of Variation = Standard deviation () Expected return (ř) Coefficient of Variation FLI (11.80%/ 14.55%) 81.10% WEB (16.52%/22.00%) 75.10
1
calculate the following Sharpe Ratio (SP) Treynor Measure Jensen Measure M2 measure T2 measure Information Ratio (appraisal ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000
Find out the 1- standard deviation 2- variance weight Investment*expected return stock weight Investment Investment Amount expected return stock stocks 0.261 1.45 75000 0.18 Alba Co. 0.0504 0.56 75000 0.09 Batelco Co. 0.0371 0.1 75000 0.371 Delmon poultry. 0.3485 225000 Total
what are the axcess rates?
Give typing answer with explanation and conclusion

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