Please solve it by hand or typing, don't use EXCEL.
1) Expected Return = Compounded Annual Growth Rate (CAGR) over the past years
Considering in 1999, the index value was 100, the index value in 2009 is
100*(1-0.1697)*(1-0.1512)*(1-0.2248)*(1+0.3212)*(1+0.1182)*(1+0.0434)*(1+0.114)*(1+0.0263)*(1-0.3996)*(1+0.3158) = 76.07
CAGR = (76.07/100)^(1/10) - 1 = -2.70%
Therefore, expected return for 2010 = -2.70%
2 Std. Dev of historical returns = 23.43%
Therefore, expected standard deviation = 23.43%
3. Sharpe Ratio = (Market Return - Treasury Return) / Standard Deviation = (-0.0270 - 0.0277)/(0.2343) = -0.15
4. 10% VAR for normal distribution =
At significance level of 10%, z=1.28
(x-76.07*(1-0.027))/0.02343 = 1.28
x= 74.32
5. Therefore, there is a 10% probability that index value will fall to 74.32 or below.
Please solve it by hand or typing, don't use EXCEL. 1. The following data was downloaded...
Please solve it by hand or typing, don't use EXCEL.
1. The following data was downloaded from Professor Kenneth French's website. The table shows the annual return of the U.S. stock market including NYSE, NASDAQ and Amex over the 10 years. (15pts) Year 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Return (%) -16.97-15.12-22.47 32.12 11.82 4.34 11.4 263-39 96 3158 1) What would be your expected return of the stock market in 2010 based on the table?...
Please solve it by hand or typing, don't use EXCEL.
1. The following data was downloaded from Professor Kenneth French's website. The table shows the annual return of the U.S. stock market including NYSE, NASDAQ and Amex over the 10 years. (15pts) Year 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Return (%) -16.97-15.12-22.47 32.12 11.82 4.34 11.4 263-39 96 3158 1) What would be your expected return of the stock market in 2010 based on the table?...
Please solve it by hand or typing, don't use EXCEL
.
1. The following data was downloaded from Professor Kenneth French's website. The table shows the annual return of the U.S. stock market including NYSE, NASDAQ and Amex over the 10 years. (15pts) Year 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Return (%) -16.97-15.12-22.47 32.12 11.82 4.34 11.4 263-39 96 3158 1) What would be your expected return of the stock market in 2010 based on the...
Please solve it by hand or typing, don't use EXCEL.
1. Suppose you have the expectations of the HPR on stock market as follows: State of Economy Recession Normal growth Expansion Probability 0.2 0.7 0.1 HPR -12% 8% 16% A. Compute the mean of HPR on stocks. (3pts) B. Compute the standard deviation of the HPR on stocks. (5pts)
Please solve it by hand or typing, don't use EXCEL.
1. Suppose you have the expectations of the HPR on stock market as follows: State of Economy Recession Normal growth Expansion Probability 0.2 0.7 0.1 HPR -12% 8% 16% A. Compute the mean of HPR on stocks. (3pts) B. Compute the standard deviation of the HPR on stocks. (5pts)
Please solve it by hand or typing, don't use EXCEL.
1. XYZ stock price and dividends history are as follows Year Beginning-of-year price Dividend paid at year- $100 $110 $90 $95 end $4 $4 $4 $4 2005 2006 2007 2008 An investor buys three shares of XYZ at the beginning of 2005, buys another two shares at the beginning of 2006, sells one share at the beginning of 2007, and sells all four remaining shares at the beginning of 2008....
Please solve it by hand or typing, don't use EXCEL.
1. XYZ stock price and dividends history are as follows Year Beginning-of-year price Dividend paid at year- $100 $110 $90 $95 end $4 $4 $4 $4 2005 2006 2007 2008 An investor buys three shares of XYZ at the beginning of 2005, buys another two shares at the beginning of 2006, sells one share at the beginning of 2007, and sells all four remaining shares at the beginning of 2008....