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 Year Prob. Asset A Asset B Asset C Asset D Market 2018 0,20 11,00 9,00 12,00 15,00 14,00 2019 0,25 13,00 11,00 15,00 13,00 12,00 2020 0,10 9,00 8,00 11,00 10,00 9,00 2021 0,20 12,00 12,00 11,00 13,00 12,00 2022 0,25 15,00 10,00 9,00 12,00 13,00

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 Year Prob. Asset A Asset B Asset C Asset D Market 2018 0,20 11,00 9,00 12,00 15,00 14,00 2019 0,25 13,00 11,00 15,00 13,00 12,00 2020 0,10 9,00 8,00 11,00 10,00 9,00 2021 0,20 12,00 12,00 11,00 13,00 12,00 2022 0,25 15,00 10,00 9,00 12,00 13,00

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 20P

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An analyst has modeled the stock of a company using the Fama-French three-factor model. The market return is 10%, the return on the SMB portfolio (rSMB) is 3.2%, and the return on the HML portfolio (rHML) is 4.8%. If ai = 0, bi = 1.2, ci = 20.4, and di = 1.3, what is the stock’s predicted return?
What is the volatility of a certain stock index from 2019 to 2022? The return for each year is given by: 4,30%, 10,75%, 2,05%, and 12,70%. Calculate the average return over the four-year period. Then, determine the volatility (standard deviation) of the stock index returns.
Stocks A and B have the following historical returns: a. Calculate the average rate of return for each stock during the period 2013 through2017.b. Assume that someone held a portfolio consisting of 50% of Stock A and 50% ofStock B. What would the realized rate of return on the portfolio have been eachyear? What would the average return on the portfolio have been during thisperiod?c. Calculate the standard deviation of returns for each stock and for the portfolio.d. Calculate the coefficient of variation for each stock and for the portfolio.e. Assuming you are a risk-averse investor, would you prefer to hold Stock A, Stock B, orthe portfolio? Why?
You are given the following information regarding four stocks in a portfolio: Company # of Shares Price ($) 2020 Price ($) 2021 ELITE 40,000 3.11 2.99 FTNA 5,000 30.37 34.10 GWEST 55,000 2.05 1.80 TTECH 20,000 5.55 4.60 Assuming 2020 is the base year with an index value of 500: i. Compute a price-weighted index of these four stocks for 2021. ii. Compute a value-weighted index of these four stocks for 2021. What is the percentage change in the value of the index from 2020 to 2021? iii. Compute the un-weighted index of these four stocks for 2019. What is the percentage change in the value of the index from 2020 to 2021
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…
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.
The table below shows the historical rates of return (including dividends) for two stocks: Year, Stock A, Stock B 2022, 3%, -3% 2021, 12%, 23% 2020, 8%, 20% 2019, 4%, -12% Stock A makes up 40% of the value of portfolio, and stock B makes up the rest. Calculate the portfolio return for each year. What was the portfolio return in 2022? What was the portfolio return in 2021? What was the average annual portfolio return over all years? What was the standard deviation of annual portfolio returns?
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The following information is for the next three problems.. Over the last four years ending July 1, the 1-year holding periodtotal returns (i.e., annual returns) for Netflix common stock (ticker symbol NFLX) were:2020: 51.36% 2021: 5.87% 2022: -56.55% 2023: 100.11%2. Calculate the arithmetic average annual return.3. Calculate the geometric average annual return.4. Calculate the volatility (standard deviation) of the annual returns.
Assume these are the stock market and Treasury bill returns for a 5-year period: Year Stock Market Return (%) T-Bill Return (%) 2016 13.0 0.2 2017 21.0 0.8 2018 -6.2 1.8 2019 29.8 2.1 2020 20.6 0.4 Required: What was the risk premium on common stock in each year? What was the average risk premium? What was the standard deviation of the risk premium? (Ignore that the estimation is from a sample of data.)-- expressed in % (NOTE: 11.31% is incorrect)

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Year	Prob.	Asset A	Asset B	Asset C	Asset D	Market
2018	0,20	11,00	9,00	12,00	15,00	14,00
2019	0,25	13,00	11,00	15,00	13,00	12,00
2020	0,10	9,00	8,00	11,00	10,00	9,00
2021	0,20	12,00	12,00	11,00	13,00	12,00
2022	0,25	15,00	10,00	9,00	12,00	13,00