solve for annualized log-return and annualizedvolatility of log returns. Last end of day valuewas $83,251.44. 72 days of dates for average.Average daily log-returnAnnualized log-return-0.255%Standard deviation on daily log-returns3.001%Annualized volatility of log-returnsRisk-free rate (QUOTE)91-day T-bill Price ($)0.020%99.994Effective Annual Yield0.020%thRisk-free rate (in continuous time)foSharpe Ratio (annual)8.485%RiskReturn

Log Return is required for Statistical Evaluation, If we are having an Average Daily log Return…

Answered: solve for annualized log-return and…

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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uppose the average return on Asset A is 7.1 percent and the standard deviation is 8.3 percent, and the average return and standard deviation on Asset B are 4.2 percent and 3.6 percent, respectively. Further assume that the returns are normally distributed. Use the NORMDIST function in Excel® to answer the following questions. a. What is the probability that in any given year, the return on Asset A will be greater than 12 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. What is the probability that in any given year, the return on Asset B will be greater than 12 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c-1. In a particular year, the return on Asset A was −4.38 percent. How likely is it that such a low return will recur at some point in the future? (Do not round…
Over a particular period, an asset had an average return of 5.2 percent and a standard deviation of 8.5 percent. What range of returns would you expect to see 95 percent of the time for this asset?
Asset A has an expected return of 20% and a standard deviation of 25%. The risk free rate is 10%. What is the reward-to- variability ratio (Sharpe ratio)? O 40 O .50 O .75 O.80
Calculate Daily and 10 day VaR and include an expected return greater than 0 Notional $ 100,000.00 Daily % return Daily % vol 1% 1% Confidence 98% <- What is the daily VaR with the Daily Dollar Return subtracted off? <- What is the 10 day VaR? (Rescale the daily VaR) VaR 10DayVaR Notional $ 100,000.00 10 Day % return 0% 10 day % vol <- What is the 10 day vol with the 10 day % dollar return subtracted off? Confidence 98% VaR <- 10 day VaR using 10 day % vol directly. TRUE
Consider a position consisting of a $315,380 investment in Oracle Corporation (ORCL) and a $271,440 investment in NVIDIA Corporation (NVDA). Suppose that the daily volatilities of these two assets are 4.14% and 5.71% respectively and that the coefficient of correlation between their return is 0.6778. With an assumption that it follows the normally distributed returns, the 27-day 99% Value at Risk (VaR) for NVIDIA Corporation (NVDA) is closest to A. $187,355.52. B. $157,830.54. C. $124,900.63. D. $100,900.64.
Following are four economic states, their likelihoods, and the potential returns: Probability 0.22 Economic State Fast growth Slow growth Recession Depression 0.52 0.19 0.07 Expected return Standard deviation Compute the expected return and standard deviation. Note: Do not round intermediate calculations and round your answers to 2 decimal places. Return 76% 18 -18 -52 % %
Attempt History Current Attempt in Progress Wildhorse Inc. is considering modernizing its production facility by investing in new equipment and selling the old equipment. The following information has been collected on this investment: Cost Old Equipment Accumulated depreciation Remaining life Current salvage value Salvage value in 8 years Annual cash operating costs $80,240 $40,300 8 years $9,920 $0 $35,100 Cost New Equipment Estimated useful life Salvage value in 8 years Annual cash operating costs $38,000 8 years $4,800 $29,900 Depreciation is $10,030 per year for the old equipment. The straight-line depreciation method would be used for the new equipment over an eight-year period with salvage value of $4,800.
Consider the following returns and states of the economy for TZ.Com.: Economy ProbabilityReturn Weak 15% Normal 50% Strong 35% -9% 2% 6% What is the standard deviation of TZ's returns? SET YOUR CALCULATOR TO FOUR DECIMAL PLACES AND ROUND TO 2 DECIMAL PLACES AT THE END. DO NOT ENTER THE %. FOR EXAMPLE, IF YOUR ANSWER IS 7.7011% ENTER IT AS 7.70.
Given the following historical returns, calculate the average return and the standard deviation: Year Return 1 14% 2 10% 3 15% 4 11%
The expected market return is 5%. The risk-free rate is 3%. According to the CAPM equation, what is the expected return on an asset which has alpha=1.5%, and beta=1.9 ? O a. 11.0% O b. 5.3% O c. 5% O d. 6.8% O e. 8.3%
What is the expected market return if the expected return on asset A is 19% and the risk free rate is 5%? Asset A has a beta of 1.4. Assume that the CAPM is correct. a. 5% b. 9% c. 13% d. 15% e. 19%
When looking at an assets VaR (5%, normal), what are we discussing? (a) A 5% confidence interval of returns centered on the mean (b) The average 95th-100th percentile of possible returns (c) The average 0th - 5th percentile of possible returns (d) The 5th percentile of possible returns (e) The 95th percentile of possible returns

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