13
Jan
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 |
||||||
8.5 | ||||||
5 | ||||||
-6 | ||||||
3 | ||||||
8 | ||||||
2 |
Tags: Re Calculate the variance, Re Calculate the variance of the market, Re Calculate the variance of the market returns, Re Calculate the variance of the market returns and, Re Calculate the variance of the market returns and the, Re Calculate the variance of the market returns and the co-variance
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