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

jagguarpaw January 13, 2017 0 Comments

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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