Volatility (Standard Deviation)Correlation withMicrosoftHPAlaska AirSouthwest AirlinesFord MotorKelloggGeneral MillsMicrosoft33%1.000.390.210.240.270.050.08HP37%0.391.000.280.350.270.110.06Alaska SouthwestAirAirlines37%31%0.210.281.000.390.150.150.200.240.350.391.000.300.150.22FordMotor Kellogg50%20%0.270.270.150.301.000.180.060.050.110.150.150.181.000.54a. What is the covariance between Microsoft and HP?b. What is the covariance between General Mills and Ford?c. What is the volatility of a portfolio with equal amounts invested in Microsoft andHewlett-Packard stock?GeneralMills17%0.080.060.200.220.060.541.00d.What is the volatility of a portfolio with equal amounts invested in Microsoft and AlaskaAir Stock?

Volatility of several stocks have been given. The correlation matrix between them has also been…

Volatility (Standard Deviation) Correlation with Microsoft HP Alaska Air Southwest Airlines Ford Motor Kellogg General Mills Microsoft 33% 1.00 0.39 0.21 0.24 0.27 0.05 0.08 HP 37% 0.39 1.00 0.28 0.35 0.27 0.11 0.06 Alaska Air 37% 0.21 0.28 1.00 0.39 0.15 0.15 0.20 Southwest Ford Airlines Motor 31% 50% 0.24 0.35 0.39 1.00 0.30 0.15 0.22 0.27 0.27 0.15 0.30 1.00 0.18 0.06 Kellogg 20% 0.05 0.11 0.15 0.15 0.18 1.00 0.54 a. What is the covariance between Microsoft and HP? b. What is the covariance between General Mills and Ford? c. What is the volatility of a portfolio with equal amounts invested in Microsoft and Hewlett-Packard stock? General Mills 17% 0.08 0.06 0.20 0.22 0.06 0.54 1.00 d. What is the volatility of a portfolio with equal amounts invested in Microsoft and Alaska Air Stock?

Volatility (Standard Deviation) Correlation with Microsoft HP Alaska Air Southwest Airlines Ford Motor Kellogg General Mills Microsoft 33% 1.00 0.39 0.21 0.24 0.27 0.05 0.08 HP 37% 0.39 1.00 0.28 0.35 0.27 0.11 0.06 Alaska Air 37% 0.21 0.28 1.00 0.39 0.15 0.15 0.20 Southwest Ford Airlines Motor 31% 50% 0.24 0.35 0.39 1.00 0.30 0.15 0.22 0.27 0.27 0.15 0.30 1.00 0.18 0.06 Kellogg 20% 0.05 0.11 0.15 0.15 0.18 1.00 0.54 a. What is the covariance between Microsoft and HP? b. What is the covariance between General Mills and Ford? c. What is the volatility of a portfolio with equal amounts invested in Microsoft and Hewlett-Packard stock? General Mills 17% 0.08 0.06 0.20 0.22 0.06 0.54 1.00 d. What is the volatility of a portfolio with equal amounts invested in Microsoft and Alaska Air Stock?

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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Calculate the market value ratio This is all information we have only
% Return on T-Bills, Stocks and Market Index States 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 7 16.9 20.7 19.6 15 Variance (%) ^2 0 549.09 244.124 358.04 313.6 Standard Deviation 0 23.4326695 15.6244712 18.92194493 17.7087549 Coefficient of Variation 0 1.386548491 7.54805372 0.965405354 1.18058366 Covariance wit MP 0 .0413 -.0275 .0231 .0314 Correlation with Market Index 0 0.9953 -0.9953 0.6894 1.0000 Beta 0 1.32 - 0.88 0.74 1.00 CAPM Req. Return 7.00 % 17.54 % -0.02% 12.89% 15.00% Valuation ( Overvalued / Undervalued/Fairly Valued) Valued Fairly…
QC 59.
Calculate the standard deviation for the following returns: Year 2017 2018 2019 2020 Return 12.03% -8.24% 1.34% 4.55% Group of answer choices 8.4% 8.1% 7.6% 7.3%
Sector Basic Materials Consumer Cyclicals Financials Real Estate Communication Servic FAKEX Weight Energy Industrials Technology Consumer Defensive Healthcare Utilities 5.81% 13.45% 21.89% 6.98% 1.32% Russell 2000 Portfolio Sector Russell 2000 Return Return Index Return Index 4.32% 11.82% 7.84% 7.84% 4.63% 9.98% 9.48% 11.71% 32.36% 8.91% 4.29% 10.42% 2.33% 1.20% 7.84% 0.67% -27.89% -24.51% 5.87% -12.43% -16.44% 12.67% 14.32% 17.00% 10.35% 16.34% 10.74% 2.81% 5.63% -0.91% 4.27% 10.43% 26.63% 5.97% 7.35% 13.85% 6.43% 17.43% 4.53% 11.78% 6.15% 4.23% 100.00% Consider the Interaction Effect using only the Technology Sector in the data presented above. Which statement below are true? (Select all that apply) 7.84% 7.84% 7.84% 7.84% 7.84% 7.84% 7.84% 7.84% The Interaction Effect for the Technology Sector was negative ✔ The Interaction Effect for the Technology Sector was positive O Under-weighting the Technology Sector was a good idea since the Sector was beaten by many other sectors…
State of Economy Probability of State Security Returns if State Occurs of Economy Roll Ross Bust Boom 0.40 0.60 -10% 21% 28 8 Calculate the standard deviations for Roll and Ross by filling in the following table Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places. State of Economy Probability of State of Economy Return Deviation from Expected Return Squared Return Deviation Product Roll Bust 0.40 Boom 0.60 02 Ross Bust 0.40 Boom 0.60 -0.0520 0.0027 02=
YYYYMM Return(Stk1) Return(Stk2) Return(Market) Return(T-bill) 201701 7.75% 3.00% 6.18% 0.20% 201702 1.27% 2.12% 1.63% 0.20% 201703 7.63% 1.50% 1.56% 0.15% 201704 9.25% -1.01% 2.09% 0.30% 201705 10.20% 2.66% 4.25% 0.30% 201706 4.33% 2.59% 0.41% 0.30% 201707 12.25% 10.41% 6.05% 0.35% 201708 4.98% -2.94% 2.37% 0.45% 201709 2.19% -1.69% -1.49% 0.20% 201710 4.05% 3.43% 2.51% 0.20% 201711 13.78% 8.29% 3.30% 0.15% 201712 2.01% 1.96% 2.54% 0.30% 201801 14.19% 23.60% 9.92% 0.30% 201802 -6.77% -4.18% -6.21% 0.55% 201803 -5.23% -10.14% -2.44% 0.60% 201804 -4.54% 1.93% 2.38% 0.20% 201805 2.32% -1.32% -1.10% 0.20% 201806 -1.35% -7.01% -4.97% 0.15% 201807 -9.80% -1.86% -1.29% 0.30% 201808 -4.28% -1.95% -2.43% 0.30% 201809 -4.94% 0.27% -0.36% 0.75% 201810 -17.39% -7.14% -10.11% 0.30% 201811 16.85% 9.62% 6.11% 0.55% 201812 0.64% -0.61% -2.49% 0.60% 201901 10.19% 7.68% 8.11% 0.20% 201902 -2.95% 10.90% 2.47% 0.20% 201903 7.50% 2.26% 1.46% 0.20%…
Find out the 1- standard deviation 2- variance weight Investment*expected return stock weight Investment Investment Amount expected return stock stocks 0.261 1.45 75000 0.18 Alba Co. 0.0504 0.56 75000 0.09 Batelco Co. 0.0371 0.1 75000 0.371 Delmon poultry. 0.3485 225000 Total
Calculate the beta of security E with the S&P. B, % -3.76 21.67 19.84 13.37 4.98 11.35 Year 1 2 3 4 5 6 O 1.20 O 0.40 O 0.36 O 0.24 A, % 10.67 12.54 -8.82 5.56 27.34 21.94 C, % 12.98 45.23 16.52 14.28 -15.53 1.28 D, % 25.51 18.97 -11.57 21.42 26.22 17.23 E, % 8.96 29.67 -12.07 25.68 31.08 -12.87 S&P, % 0.34 15.94 4.66 -4.45 15.14 -2.89
Ee 184.
a 0.07248 b 0.00386 c 0.26921 d 0.00939 e 0.05175
% Return on T-Bills, Stocks and Market Index State of the 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 16.9 2.07 19.60 15 Standard Deviation 0 23.4 15.62 18.92 17.71 Coefficient of Variation 0 1.39 7.55 0.97 1.18 Covariance with MP 0 0.04 -0.3 0.02 0.03 Correlation with Market Index 0 1 -1.0 0.69 1 Beta 0 1.32 -0.88 0.74 1 CAPM Req. Return 7 17.54 -0.02 12.89 15.0 Valuation (Overvalued/Undervalued/Fairly valued) Fairly valued Overvalued Undervalued Undervalued Fairly valued Nature of stock Defensive Aggressive Defensive Defensive Defensive Find the mean for T-Bills showing…

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