Problem 18-9 (Algo)Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and themarket's average return was 15%. Performance is measured using an index model regression on excess returns.Index model regression estimatesR-squareResidual standard deviation, o(e)Standard deviation of excess returnsStock A1% +1.2(rm -rf)Stock B2% +0.8(rm -rf)0.64111.4%22.7%0.46920.2%27.1%Required:a. Calculate the following statistics for each stock: (Do not round intermediate calculations. Round your answers to 4 decimalplaces.)> Answer is complete but not entirely correct.Stock AStock Bi. Alpha1.0000%2.0000%ii. Information ratio0.08770.0980. Sharpe ratio0.46700.3100iv. Treynor measure10.6000 x4.2000 X

AlphaAlpha is a measure of the excess return of an investment or portfolio compared to its benchmark…

Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Required: Stock A Stock B 1% +1.2(rMr+) 2% +0.8(rm -rf) 0.641 0.469 11.4% 22.7% 20.2% 27.1% a. Calculate the following statistics for each stock: (Do not round intermediate calculations. Round your answers to 4 decimal places.) Answer is complete but not entirely correct. Stock A Stock B i. Alpha 1.0000 % 2.0000 % ii. Information ratio 0.0877 0.0980 iii. Sharpe ratio 0.4670 0.3100 iv. Treynor measure 10.6000x 4.2000

Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Required: Stock A Stock B 1% +1.2(rMr+) 2% +0.8(rm -rf) 0.641 0.469 11.4% 22.7% 20.2% 27.1% a. Calculate the following statistics for each stock: (Do not round intermediate calculations. Round your answers to 4 decimal places.) Answer is complete but not entirely correct. Stock A Stock B i. Alpha 1.0000 % 2.0000 % ii. Information ratio 0.0877 0.0980 iii. Sharpe ratio 0.4670 0.3100 iv. Treynor measure 10.6000x 4.2000

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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Scenario 2: The following table shows the returns for the market index (Market - M) and the returns for two stocks (Asset X & Y) under three scenarios. Assume each scenario has an equal chance of occurring (33%). Bad Okay Good Market - M-5% 5% 15% Asset - X -2%-3% 25% Asset - Y -4%-6% 30% What is the correlation of "Asset - Y" to "Market M"? enter your number to two decimal places without the percent sign. Example 23% enter as .23.
Consider the three stocks in the following table. Pt represents price at time t, and Qt represents shares outstanding at time t. Stock C splits two-for-one in the last period. A B C Po 82 42 84 00 100 200 200 Divisor P1 87 37 94 01 100 200 200 P2 87 37 47 92 100 200 400 Required: a. Calculate the rate of return on a price-weighted index of the three stocks for the first period (t=0 to t= 1). (Do not round intermediate calculations. Round your answer to 2 decimal places.) Rate of return I % b. What will be the divisor for the price-weighted index in year 2? (Do not round intermediate calculations. Round your answer to 2 decimal places.) D c. Calculate the rate of return of the price-weighted index for the second period (t=1 to t = 2).
The Beta for Stock Q is _____. Do not round intermediate work, but round your final answer to 2 decimal places (example: if your answer is 1.2345, you should enter 1.23). Margin of error for correct responses: +/- .03 expected return standard deviation covariance with S&P500 Stock Q 9% .0023 .0003 S&P500 10% 0.014 T-bonds 3%
The index model has been estimated for stocks A and B with the following results: = 0.12 +0.670RM+еA RA= RB=0.04 +1.512RM + еB °M= 0.330 σ(eд) = 0.20 σ(eB) = 0.10 What is the covariance between each stock and the market index? (Round your answers to 4 decimal places.) Stock A covariance Stock B covariance
Suppose you are given the following information about 2 stocks, what is the Sharpe Ratio of a portfolio weighted 55% in stock A and 45% in stock B? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 rf=3% Enter rate in decimal form, rounded to 4th digit, as in "0.1234"
please help with this question
Use the following information: Stock A B Good state 10% 14% Bad state 2% -2% Assume there is 60% probability that the good state occurs and 40% chance the bad state occurs. What is the standard deviation of stock A? (Please use 5 decimal places, this should be written in percentage, so an answer of 23.143% should be written as .23143)
Suppose you are given the following information about 2 stocks, what is the return standard deviation of a portfolio weighted 55% in stock A and 45% in stock B? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 Enter rate in decimal form, rounded to 4th digit, as in "0.1234"
Suppose that the Index model for stocks A and B is estimated from excess returns with the following results: RA 3.5% 8.65RM + A Rg -1.6% +0.88RM + ep OM 21%; R-squareд 0.22; R-squareg 0.14 What are the covariance and the correlation coefficient between the two stocks? Note: Do not round intermediate calculations. Calculate using numbers in decimal form, not percentages. Round your answers to 4 decimal places. Covariance Correlation coefficient
Suppose you are given the following information about 2 stocks, what is the expected return of a portfolio weighted 55% in stock A and 45% in stock B? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 Enter rate in decimal form, rounded to 4th digit, as in "0.1234"
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 38+0.7RM + eA + eB RB-28+1.2RM OM 20%; R-squareд 0.20; R-squareg = 0.12 What is the standard deviation of each stock? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Stock A Stock B = Standard Deviation % %

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