The covariance of the returns on the two securities, A and B, is -0.005. The standard deviation of A's returns is 3% and the standard deviation of B's returns is 5.5%. What is the correlation between the returns of A and B?
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The covariance of the returns on the two securities, A and B, is -0.005. The
standard deviation of A's returns is 3% and the standard deviation of B's returns is 5.5%.
What is the correlation between the returns of A and B?
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- a. The standard deviation of returns is 0.30 for Stock A and 0.20 for Stock B. The covariance betweenthe returns of A and B is 0.006. The correlation of returns between A and B is:The covariance between the returns on two stock is 0.0425. The standard deviations of stocks A and B are 0.2041 and 0.2944, respectively. Calculate and interpret the correlations between the two assetsTwo securities have a covariance of 0.011. If their respective standard deviations are 13% and 22%, what is their correlation coefficient?
- Two securities have a covariance of 0.076. If their respective standard deviations are 13% and 22%, what is their correlation coefficient? Multiple Choice O 0.72 0.95 0.22 0.38 0.58the variance of stock A is .004, the variance of the market .007 and the covariance between the two is .0026. what is the correlation coefficient?3) i) Calculate the average returns, variance and standard deviation for three securities X, Y and Z that have performed as follows. Returns % Year X Y Z 1 11 36 -3 2 6 -7 0 3 -8 21 5 4 28 -12 9 5 13 43 5 ii) Is there any basis for preferring one of these securities over the others? iii) Calculate the covariances between X, Y and Z.
- Security X has expected return of 14% and standard deviation of 22%. Security Y has expected return of 16% and standard deviation of 28%. If the two securities have a correlation coefficient of 0.8, what is their covariance? 0.049 0.038 0.018 0.013The Beta coefficients of TSLA and JPM are 1.99 and 1.18 respectively. What does Beta measure and how is it interpreted? Explain the beta values of TSLA and JPM by providing a calculated example of how they relate to market returns.Exercises: a. The standard deviation of returns is 0.30 for Stock A and 0.20 for Stock B. The covariance between the returns of A and B is 0.006. The correlation of returns between A and B is: b. Explain the differences between systemic risk and unsystematic risk, give additional examples c. Compare and contrast the Capital Market Line and Security Market Line d. The covariance of the market's returns with the stock's returns is 0.008. The standard deviation of the market's returns is 0.08, and the standard deviation of the stock's returns is 0. 11. What is the correlation coefficient of the returns of the stock and the returns of the market? e. According to the CAPM, what is the required rate of return for a stock with a beta of 0.7, when the risk-free rate is 7% and the expected market rate of return is 14%
- Consider the following securities: state Probability A B A B H M L 0.2 0.5 0.3 с 6 10 6 3 7 12 2 5 14 1. The expected payoff of A is: 2. The standard deviation of A is: 3. If the price of A is 3, its expected return is: 4. The covariance between A and B is: 5. The correlation coefficient between A and B is: 6. Is it possible to build a portfolio that has zero variance using A and C? YES/ NOConsider the probability distribution p(s) of the returns rA and rB of two securities A and B: state p(s) rA rB роог 0.2 0.1 0.16 medium 0.5 0.2 0.1 доod 0.3 0.3 0.05 Calculate the covariance oAB between rA and rB. The correct answer (up to four decimals is) Select one: GAB = 0.0013 GAB = -0.0027 GAB = -0.0102 None of the aboveExpected return of the X security is 12% and its standard deviation is 20%. Expected return of the Y security is 15% and its standard deviation is 27%. If, the correlation coefficient of the two securities is 0.7; then, what is the covariance between these two securities? A) 0.038B) 0.070C) 0.018D) 0.013E) 0.054