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coefficient variation=.55
positive coeficient of correlation =.20
expected value=$1200
What does standard deviation equal?
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- EXAMPLE• Consider the following information:State Probability ABC, Inc. ReturnBoom .25 0.15Normal .50 0.08Slowdown .15 0.04Recession .10 -0.03• What is the expected return?• What is the variance?• What is the standard deviation?The returns on assets C and D are strongly correlated with a correlation coefficient of 0.80. The variance of returns on C is 0.0009, and the variance of returns on D is 0.0036. What is the covariance of returns on C and D? Give typing answer with explanation and conclusionThe covariance of returns between MSFT and AAPL is 0.0044. The standard deviation of the return of MSFT is 6.23%. If the correlation of returns between MSFT and AAPL is 0.6161, the variance of AAPL is closest to A. 2.7234%. B. 1.3141%. C. 0.1473%. D. 0.1146%.
- If correlation coefficient between an individual security and market is 0.64, the total risk of the security that is standard deviation is 30 %, unsystematic risk of the security in variance term is a. 531.36 b. 900 c. 640 d. 360Returns Year X y 1 17 % 20 % 2 20 32 3 11 15 4 – 7 – 18 5 10 22 Using the returns shown above, calculate the arithmetic average returns, the variances, and the standard deviations for X and Y.A project’s coefficient of variation is 0.55. The project has a positive coefficient of correlation of 0.20. The expected value is $1,200. What is the standard deviation?
- Coefficient of Variation A standardized measure of the risk per unit of return. Coefficient of Variation = Standard deviation () Expected return (ř) Coefficient of Variation FLI (11.80%/ 14.55%) 81.10% WEB (16.52%/22.00%) 75.10The standard deviation of return on investment a is 0.10, while the standard deviation of return on investment b is 0.04. If the correlation coefficient between the returns on A and B is_____________. A. -0.0447 B. -0.0020 C. 0.0020 D. 0.0447In a regression of the single-index model, the R-square is 68%, residual variance is 0.08, beta estimate is 0.7. What is the variance of the market excess return?
- a random variable has the following probability distribution 20% chance of realizing a value of 500 and 80% chance of realizing a value of 0 the coefficient of variation of this random variable isthe variance of stock A is .004, the variance of the market .007 and the covariance between the two is .0026. what is the correlation coefficient?Asset A has an expected return of 37% and a standard deviation of 40%. The risk-free rate is 13%. What is the reward-to-variability ratio?
