Consider the following end of year prices, rounded to a dollar of DGT (SPDR Global Dow) – 150 multinational blue-chip companies, and IWO (iShares Russell 2000 Growth) – small-capitalization growth sector of the U.S. equity market. Answer the questions below using the log-returns. Whenever appropriate, assume that the degree of integration of US market is 0.70, the correlation of US market with the global market is 0.45, there is no liquidity premium, and the Sharpe ratio of the global market is 0.30. Risk free rate is 2%. Year DGT IWO 2010 60 87 2011 54 91 2012 59 102 2013 69 139 What is the sample standard deviation of the returns of IWO? Select one: a. 14.3% b. 13.7% c. 7.6% d. 15.8%
Consider the following end of year prices, rounded to a dollar of DGT (SPDR Global Dow) – 150 multinational blue-chip companies, and IWO (iShares Russell 2000 Growth) – small-capitalization growth sector of the U.S. equity market. Answer the questions below using the log-returns. Whenever appropriate, assume that the degree of integration of US market is 0.70, the correlation of US market with the global market is 0.45, there is no liquidity premium, and the Sharpe ratio of the global market is 0.30. Risk free rate is 2%. Year DGT IWO 2010 60 87 2011 54 91 2012 59 102 2013 69 139 What is the sample standard deviation of the returns of IWO? Select one: a. 14.3% b. 13.7% c. 7.6% d. 15.8%
Chapter1: Making Economics Decisions
Section: Chapter Questions
Problem 1QTC
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Consider the following end of year prices, rounded to a dollar of DGT (SPDR Global Dow) – 150 multinational blue-chip companies, and IWO (iShares Russell 2000 Growth) – small-capitalization growth sector of the U.S. equity market.
Answer the questions below using the log-returns. Whenever appropriate, assume that the degree of integration of US market is 0.70, the correlation of US market with the global market is 0.45, there is no liquidity premium, and the Sharpe ratio of the global market is 0.30. Risk free rate is 2%.
Answer the questions below using the log-returns. Whenever appropriate, assume that the degree of integration of US market is 0.70, the correlation of US market with the global market is 0.45, there is no liquidity premium, and the Sharpe ratio of the global market is 0.30. Risk free rate is 2%.
|
Year |
DGT |
IWO |
|
2010 |
60 |
87 |
|
2011 |
54 |
91 |
|
2012 |
59 |
102 |
|
2013 |
69 |
139 |
What is the sample standard deviation of the returns of IWO?
Select one:
a.
14.3%
b.
13.7%
c.
7.6%
d.
15.8%
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