Stock W and Stock M's annual returns are as following, calculate the average return, standard deviation for Stock W, Stock M, and an equally weighted portfolio WM (i.e., 50% in W and 50% in M). A: \rho = -1 Year Stock W Stock M Portfolio WM 2008 40 % -10% 2009 -10% 40% 2010 40 % -10% 2011 -10% 40% 2012 15% 15% Avg. Return Stan. Dev. B: \rho = 0.35 Year Stock W Stock M Portfolio WM 2008 40% 40% 2009 -10% 15% 2010 35% -5% 2011 -5% -10% 2012 15% 35% Avg. Return Stan. Dev.
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- Stocks C and F have the following historical returns: Year return (HPY) of C return (HPY) of F 2016 −18.00% −14.50% 2017 33.00% 21.80% 2018 15.00 % 30.50% 2019 −0.50% −7.60% 2020 27.00% 26.30% Required Calculate the geometric rate of return for each stock during the 5-year period. Calculate the standard deviation of returns for each stock. Calculate the coefficient of variation for each stock. If you are a risk-averse investor then, assuming these are your only choices, discuss whether you would prefer to hold Stock C or Stock F.Stocks C and F have the following historical returns:Year return (HPY) of C return (HPY) of F2016 −18.00% −14.50%2017 33.00% 21.80%2018 15.00 % 30.50%2019 −0.50% −7.60%2020 27.00% 26.30%Required i. Calculate the geometric rate of return for each stock during the 5-year period. ii. Calculate the standard deviation of returns for each stock. iii. Calculate the coefficient of variation for each stock. iv. If you are a risk-averse investor then, assuming these are your only choices, discusswhether you would prefer to hold Stock C or Stock F.Using the data in the following table, and the fact that the correlation of A and B is 0.56, calculate the volatility (standard deviation) of a portfolio that is 60% invested in stock A and 40% invested in stock B. Realized Returns Year Stock A 2008 -6% 2009 12% 2010 7% 2011 -2% 2012 2% 2013 5% Stock B Question content area bottom 12% 35% 10% -2% -12% 33% Part 1 The standard deviation of the portfolio is %.
- Below are the annual returns of the stock A, B, C and D and the market portfolio for the period 2018-2022. Find the expected return and standard deviation of the stock A, B, C, D and the market portfolio. Asset A Asset D | 15,00 13,00 | 10,00 13,00 Prob. Asset B 9,00 Year 2018 2019 2020 2021 2022 Asset C 12,00 Market 14,00 12,00 |11,00 0,20 0,25 | 13,00 9,00 | 11,00 8,00 0,10 0,20 0,25 15,00 | 11,00 11,00 | 9,00 12,00 12,00 9,00 12,00 15,00 10,00 12,00 13,00(a) Stocks A and market have the following estimated retuns: RA RM year 2018 -18% -24% 2019 44% 24% 2020 -22% -4% 2021 22% 8% 2022 34% 56% Required to (1)Calculate the expected rate of return for stock A and Market during the 5-year period. (ii) Now calculate the total risk of stock A and MarketUsing the data in the following table, Year 2010 2011 2012 2013 2014 2015 Stock A -10% 20% 5% -5% 2% 9% Stock B 21% 7% 30% -3% -8% 25% consider a portfolio that maintains a 50% weight on stock A and a 50% weight on stock B. What is the return each year of this portfolio? Based on your results from part
- a) Consider these three stock returns with the following annualised characteristics: Stock A Stock B Stock C Expected Return 16% 10% 3% Stock A Stock B Stock C Standard deviation 26% 22% 11% Stock A 1 0.4 0.2 According to the Capital Asset Pricing Model (CAPM), which stock is a better buy, when the market's expected return is 8%, and risk-free rate is 4%? What is the alpha of each stock? Plot the Security Market Line (SML) and each stock's risk-return point on one graph. b) Now suppose that the same stock returns have the following correlation matrix: Beta Stock B 1.5 1.1 0.3 1 0.3 Stock C 1 Weights 55% 35% 10% If we form a three-stock portfolio by investing 55%, 35% and 10% in Stock A, B and C, respectively, what is the expected return and variance of this portfolio?Using the data in the following table, and the fact that the correlation of A and B is 0.52, calculate the volatility (standard deviation) of a portfolio that is 50% invested in stock A and 50% invested in stock B. (Click on the following icon in order to copy its contents into a spreadsheet.) Realized Returns Year 2008 2009 2010 2011 2012 2013 Stock A -3% 11% 5% -3% ► 2% 9% Stock B 15% 22% 8% - 5% -15% 15% .... The standard deviation of the portfolio is%. (Round to two decimal places.)Observe the mean, the standard deviation, and the CV of the annual rate of return of the portfolio. Tesla Historical Annual Stock Price Data Year Average Stock Price Year Open Year High Year Low Year Close Annual % Change 2020 289.9971 86.0520 705.6700 72.2440 705.6700 743.44% 2019 54.7060 62.0240 86.1880 35.7940 83.6660 25.70% 2018 63.4620 64.1060 75.9140 50.1120 66.5600 6.89% 2017 62.8633 43.3980 77.0000 43.3980 62.2700 45.70% 2016 41.9535 44.6820 53.0840 28.7340 42.7380 -10.97% 2015 46.0085 43.8620 56.4520 37.0000 48.0020 7.91% 2014 44.6658 30.0200 57.2080 27.8680 44.4820 47.85% 2013 20.8803 7.0720 38.6740 6.5820 30.0858 344.14% 2012 6.2337 5.6160 7.6020 4.5580 6.7740 18.59% 2011 5.3609 5.3240 6.9880 4.3660 5.7120 7.25% 2010 4.6683 4.7780 7.0940 3.1600 5.3260 0.00% Amazon Historical Annual Stock Price Data Year Average Stock Price Year Open Year High Year Low Year Close Annual % Change 2021 3315.9774 3186.6300 3731.4100 2951.9500…
- Using the data in the following table, and the fact that the correlation of A and B is 0.48, calculate the volatility (standard deviation) of a portfolio that is 70% invested in stock A and 30% invested in stock B. (Click on the following icon in order to copy its contents into a spreadsheet.) Year 2008 2009 2010 2011 2012 2013 Realized Returns Stock A - 10% 20% 5% - 5% 2% 9% Stock B 21% 30% 7% - 3% - 8% 25% The standard deviation of the portfolio is %. (Round to two decimal places.)Using the data in the following table, calculate the volatility (standard deviation) of a portfolio that is 60% invested in stock A and 40% in stock B. The volatility of the portfolio is %. (Round to two decimal places.) Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Year Stock A Stock B 2010 2011 2012 2013 2014 2015 -10% 19% 4% -3% 5% 12% 19% 39% 24% -8% -8% 35% Print Done ХStocks A and B have the following historical returns: Stock A's Returns (24.25%) 18.50 38.67 14.33 39.13 Year 2015 2016 2017 2018 2019 Assume the risk-free rate during this time was 3.5%. What are the Sharpe ratios for Stocks A and B and the portfolio over this time period using their average returns? Answers: a) Sharpe ratio for Stock A b) Sharpe ratio for Stock B 0.5332 0.8839 c) Sharpe ratio for Portfolio AB Stock B's Returns 5.50% 26.73 48.25 (4.50) 43.86 Note: enter your answers with 4 decimal places