Between 1990 and 2000, the standard deviation of the returns for the NIKKEI and the DJIA indexes were 0.12 and 0.37, respectively, and the covariance of these index returns was 0.021. What was the correlation coefficient between the two market indicators?

Q: The Layton Growth Fund has an alpha of 2.7 percent. You have determined that Layton’s information…

A: Alpha = 2.7% = 0.027Information Ratio  = 0.45

Q: Using an example of two stocks (e.g., A and B) with hypothetical known values for the mean return…

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

Q: a covariance of 0.011. If their respective standard deviations are 13% and 22%, what is their…

A: Given, Covariance = 0.011 Standard deviation of security 1 = 13% or 0.13 Standard deviation of…

Q: Morningstar's Risk-Adjusted Rating most closely resembles which measure? The Treynor Index Jensen's…

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

Q: Based on the following information, what is the diversifiable proportion for the stock? Standard…

A: Stock's standard deviation: 0.5Standard deviation of the index: 0.1Correlation: 0.6

Q: Year Stock A Stock B 2010 - 6% 25% 2011 17% 5% 2012 6% 4% 2013 - 9% - 2% 2014 4% - 4% 2015 13% 25%

A: A stock is a security that describes the percentage of ownership of a particular company held by an…

Q: Consider the following information about the various states of economy and the returns of various…

A: Here, Probability T-Bills Philips Pay-up Rubber-Made Market Index 0.2 7% -22% 28% 10% -13%…

Q: Estimate the return and standard deviation of the historical returns on Stock A that were: 15%, 20%,…

A: We’ll answer the first question since the exact one wasn’t specified. Please submit a new question…

Q: Morningstar's Risk-Adjusted Rating most closely resembles which measure? The Treynor Index Jensen's…

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

Q: (a) Compare the performance of these size premiums with the global market premium over this  period.…

A: Size Premium means Smaller sized market Cap firms are expected to outperform larger sized market cap…

Q: Consider the following two regression lines for Stock A (left) and B (right) in the following…

A: Security market line:The security market line (SML) of stocks is a vital concept in finance that…

Q: What is the correlation between returns of stock S and T, given that covariance between stocks is…

A: Given, Covariance = 2.419 Standard deviation =1.23 and 2.21

Q: You are conducting some statistical analyses on two securities: Stock X and Stock Y. You find that…

A: Volatility of stock X = 5.78%Volatility of stock Y = 7.94%Correlation = 0.25To find: The covariance…

Q: This ratio is fluid measure of the market’s confidence in the company’. The statement is valid in…

A: Ratio analysis is a significant tool for determining the financial position of a company, which can…

Q: Which of the following is (are) correct regarding average returns? A B The geometric mean is a…

A: In finance the geometric average return is a way to figure out the rate of return, on an investment…

Q: Which of the following refers to the Sharpe performance measure?  It measures the sensitivity of a…

A: Sharpe Ratio is a tool used to measure performance of Portfolio. Portfolio with high Sharpe Ratio…

Q: Consider three investments. You are given the following means, standard deviations, and correlations…

A: The solver function in Excel helps us solve complex problems with multiple constraints.We begin by…

Q: In creating the T2 measure one mixes P* and T-bills to match the _____ of the market and in creating…

A: Introduction: Treasury bills are instruments issued by US government which are of short term nature…

Q: Consider the following regression Pt * - Pt = .07(1.4) + .4*Pt (3.6) + et where Pt * is Shiller’s ex…

A: The efficient markets theory is a theoretical framework that explains the functioning of financial…

Q: C's full data analysis, 1971-2003, revealed that Market Q was insignificant. That is, there was no…

A: Fundamental analysis is the analysis of past information of any company or firm. Although it is not…

Q: The price index used to measure inflation is a a. Simple average of its components b. Stratified…

A: Simple average is calculated as the sum of all observations divided by the number of observations.…

Q: Colin observed that the standard deviation of the return on the market index is estimated as 9.14%.…

A: formula for Beta =        ( standard deviation of security ^ correlation ) /  standard deviation of…

Q: Given the cash flows and information in the table below. Which alternative do you choose (mutually…

A: MARR = 6% N = 4 years

Q: Suppose the returns on an asset are normally distributed. The historical average annual return for…

A: Variables in the question:Average annual return for the asset=5.2%Standard deviation=10.6%

Q: Closing prices for Sillech and New Mines for the years 1999-2014 are shown below. a. Calculate the…

A: To Find: Total return for each stock Expected return Variance Standard Deviation Co-Variance

Q: Discuss an explanation for this pattern that is consistent with the EMH. (ii)

A: SOLUTION:- It is a theory in financial economics which says that prices of assets reflect all the…

Q: The SSO ETF is a X2 power share on the S&P500. What would you expect the correlation to be between…

A: The Standard and Poor's 500 also known as the S&P 500 is a stock market index which tracks the…

Q: The following linear regression estimation results were for the single index models, estimated for…

A: 1.  Single Index model is expressed by following equation:-Ri  = where ,Ri = return on security i =…

Q: Financial analysts have estimated the returns on shares of the Goldday Corporation and the overall…

A: It's not always the same in the market. The state of the market is always shifting; at times, the…

Q: Given the returns over the 1988-2013 period, and the arithmetic mean return and volatility you…

A: The risk-adjusted return refers to the return that the investment provides after the risk associated…

Q: Consider the two (excess return) Index-model regression results for stocks A and B. The risk-free…

A: Market return = 11%Risk free rate = 4%To find Alpha, Information ratio, Sharpe ratio, and Treynor…

Q: Suppose the returns on a particular asset are normally distributed. Also suppose the asset had an…

A: Given: Particulars Return   Expected return 11.50%   Standard deviation Particulars Return…

Q: In 2021, the annualized standard deviation of Merck & Co., Inc. (MRK) was 8.92% versus 10.34% for…

A: Beta of stock show the systematic risk of the company that is risk related to the overall market and…

Q: The resulting SML equation for Laternios is given by: Er Laternios + = X (E[rM] - rf)

A: Regression analysis on a stock provides insights into the relationship between the stock's returns…

Q: The following are the historic returns for the Beximco Computer company Year Beximo General index 1…

A: Calculation of correlation coefficient, standard deviation and beta of the company: Excel workings:

Q: how do you calculate a stocks average monthly return,its return variance ,standard deviation and…

A: Variance is a measure of risk of returns, it shows how much actual return has deviated from its…

Q: What is the correlation coefficient of the returns of the stock and the returns of the market?

A: Correlation: It is a measure of statistics used to show the degree of association between two…

Q: Suppose the returns on an asset are normally distributed. The historical average annual return for…

A: Here, Historical Average Annual Return is 5.7% Standard Deviation is 18.3%

Q: Two investments generated the following annual returns: a. What is the average annual return on each…

A: Annual return The return an investor receives from an investment within one fiscal year is called…

Q: What is the average annual return? b. What is the variance of the stock's returns? c. What is the…

A: Standard deviation refers to the measurement of the dispersion of data from its mean value which…

Q: Consider the two (excess return) index-model regression results for stocks A and B. The risk-free…

A: Market return = 14%Risk free rate = 7%To find: Alpha, Information ratio, Sharpe ratio, and Treynor…

Q: In the CAPM world, if Sharpe ratio of the market portfolio is 1.25 and the correlation coefficient…

A: Sharpe ratio is used to determine the excess return which is earned by the investor for investing…

Q: When we test CAPM using historical data, a classic test is to regress excess returns of stocks onto…

A: The objective of the question is to identify the correct statements about the Alpha and Gamma…