13 Jan

Re Calculate the variance of the market returns and the co-variance

by jagguarpaw On: Finance - 0 Comment

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 – σ_m²– 304/6 – 50.67
			Covariance – σ_im – 456/6 – 76
			Beta (β) – σ_im/ σ_m²– 76/50.67 – 1.5
	Market return
	8.5
	5
	-6
	3
	8
	2

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