Consider the following monthly data for various factors and a trading strategy:MonthMkt-RFSMBHMLRMWCMAUMDStrategy Z10.61-2.56-0.042.422.861.62-0.2420.35-0.38-7.72-1.81-7.22-0.63-2.8936.461.34-0.262.18-1.62-2.376.1143.212.864.11-0.570.57-3.985.395-2.39-3.65-1.063.43-2.373.77-3.676-5.24-1.81.521.86-0.830.26-4.657-3.19-4.050.182.47-0.651.72-4.0188.84-0.121.64-3.91-1.002.758.5894.877.324.93-3.071.32-5.518.55100.71-5.74-2.380.69-0.965.19-2.04115.06-0.78-3.49-1.99-2.144.962.92122.83-1.164.191.481.18-0.423.88(a) (10 marks) Calculate the annualised alpha of Strategy Z against a benchmark modelconsisting of the market factor, the profitability factor, and the momentum factor.Hint: You may use the Excel function LINEST() or the regression function in theExcel Data Analysis toolbox to get regression results.Answer:

Step 1: Input DataOpen Excel and input the provided data for Strategy Z, Mkt-RF, RMW, and UMD in…

Answered: Consider the following monthly data for…

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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The Bloomberg screen below shows the Nasdaq Index price over the last year. Describe the technical indicator used from the chartist and what trade signal it may suggest. CCMP €T On 03 CCMP Index 11/04/2020 Study RSI 1D 3D 1M 6M YTD 1Y 5Y Max Daily Volume 1.000B IRSI (14) on Close (CCMP) 75.3572 Nov C 15811.58 +161.98 Nov 0 15658.52 H 15821.58 L 15616.44 Prev 15811.58 94) Suggested Charts 96) Actions 97) Edit 11/04/2021 Last Px Local CCY Mov Avgs Period 14 Overbought 70 Oversold 30 1 Table + Compare ▾ Add Data Track Annotate News Zoom Key Events 2020 Dec Jan Feb Mar Apr May Jun 06/03/21 Jul Aug Relative Strength Index ไปได้ Sep Edit Chart * Oct 15811.5801 15013.0596 14198.1699 Last Price THigh on 11/03/21 Average 15811.5801 15821.5801 12000 13839.5049 Z-VOU 1 Low on 11/04/20 11394.21 11075.4473 ISMAVG (50) on Close 15013.0596 SMAVG (100) on Close 14805.082 SMAVG (200) on Close 14198.1699 13000 10000 3B 2B 1.000B -0 100 75.3572 -50 -0
identify the three trends (Primary, Secondary, and Minor based on “Dow Theory”) over the latest two years’ period”. Provide a brief explanation of the price movement based on identified trends?
From the PW, AW, and FW values below, the conventional B/C ratio is closest to:a. 1.27b. 1.33c. 1.54d. 2.76
Please refer to the attached image. Here is the question: Using the exponential smothing model with an alpha of 0.2 and a smoothed forecast for period 1 of 350, what is the forecast for period 3?
470 - 35 you have concluded that the following relationships are possible next year: economic status probability rate of return weak economy .15 -5% static economy .6 5% strong economy .25 15% What is the standard deviation of the rate of return for the one year period? a. .65 % b. 1.45% c. 4% d. 6.25% e. 6.4%
With an assumption that the volatility of Waste Management (WM) is 1.86% per day, corresponding to ______ per week, ______ per month, and ______ per year. A. 4.16% / 8.52% / 35.54% B. 4.16% / 8.52% / 29.53% C. 4.16% / 10.19% / 35.54% D. 4.92% / 10.19% / 29.53%
% Return on T-Bills, Stocks And Market Index State of Economy Probability T-Bills Phillips Pay-up Rubber-Made Market index Recession 0.2 7 -22 28 10 -13 Below Average 0.1 7 -2 14.7 -10 1 Average 0.3 7 20 0 7 15 Above Average 0.3 7 35 -10 45 29 Boom 0.1 7 50 -20 30 43 Mean Standard Deviation Coefficient of Variation Covariance with MP Correlation with Market Index Beta CAPM Req. Return Valuation (Overvalued/Undervalued/Fairly Valued) Nature of Stock (Aggressive/Defensive) Fill the parts in the above table that are shaded in yellow and show workings other than spread sheet analysis. Using the data generated in the previous…
Monthly stock prices 2011 January 0.258333 February 0.258333 March 0.25 April 0.258333 May 0.266667 June 0.258333 July 0.258333 August 0.266667 September 0.266667 October 0.266667 November 0.258333 December 0.266667 Required Using excel calculate each month returns using natural log method Using excel calculate annual average return for 2011 Using excel calculate annual volatility for 2011
Compute the annual tracking error from the following information: Quarter Portfolio B's 1 2 3 4 O 1.06% O 2.12% O 3.67% O 4.25% O None Portfolio A's Return (%) 1.15 1.89 1.15 -0.47 Return (%) 1.65 -0.10 0.52 -0.60
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Problem 9-21 Risk, Return, and Their Relationship (LG9-3, LG9-4)Consider the following annual returns of Estee Lauder and Lowes Companies: Estee LauderLowes CompaniesYear 123.9%6.0%Year 224.016.6Year 318.14.7Year 450.444.0Year 517.314.0Compute each stocks average return, standard deviation, and coefficient of variation.Note: Round your answers to 2 decimal places.

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