Re Calculate the variance of the market returns and the co-variance
Question: Re Calculate the variance of the market returns and the co-variance
Re Calculate the variance of the market returns and the co-variance between the returns on the market and those of Anchovy Queen. Notes: 1) Beta is the ratio of the variance to the co-variance. 2) USE the yellow box instead of the Market return in the table.
(1) | (2) | (3) | (4) | (5) | (6) | (7) |
Product of | ||||||
Deviation | Deviation | Squared | Deviations | |||
From | From average | Deviation | From average | |||
Market | Anchovy Q | average | Anchovy Q | From average | Returns | |
Month | Return | Return | Market return | Return | Market return | (cols 4 x 5) |
1 | -8% | -11% | -10 | -13 | 100 | 130 |
2 | 4 | 8 | 2 | 6 | 4 | 12 |
3 | 12 | 19 | 10 | 17 | 100 | 170 |
4 | -6 | -13 | -8 | -15 | 64 | 120 |
5 | 2 | 3 | 0 | 1 | 0 | 0 |
6 | 8 | 6 | 6 | 4 | 36 | 24 |
Average | 2 | 2 | Total | 304 | 456 | |
Variance – σm2 – 304/6 – 50.67 | ||||||
Covariance – σim – 456/6 – 76 | ||||||
Beta (β) – σim/ σm2 – 76/50.67 – 1.5 | ||||||
Market
return |
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8.5 | ||||||
5 | ||||||
-6 | ||||||
3 | ||||||
8 | ||||||
2 |