Consider the data contained in the table below, which lists 30 monthly excess retums to two different actively managed stock portfollos (A and a) and three different common risk 3. Compute the average monthly retum and monthly standard return deviation for each portfolio and ail three risk factors. Also state these values on an annualized basis. (Hint: Monthly returns can be annualized by muluplying them by 12 , while monthly standard deviations can be annualized by multiplying them by the square root of 12 .) Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers to three decimal pisces. b. Based on the return and standard deviation caloulations for the two portfolios from Part a, is it cleor whether one portfolio outperformed the other over this time period? Do not make any additional calculations to answer this question. Portfolio A esmed a return and a standard deviation than Partfolio B. Therefore, it ciear that one portfolio outperformed the other over this time period c. Calculate the correlation coefficients betveen each pair of the common risk factors (2.0,1B2,1k3, and 2B3), Use a minus sign to enter negative values, if any. Do not round intermediate calculabiona. pound vour anseers to four decimal places. Correlation between 182 . Cerveiation between 183 : Cormelation between 2 a 3 : d. In theory, what should be the value of the correlation coefficent between the common risk factors? Explain why. In theory the cormilations shevid be becaise ne want the factors to be Consider the data contained in the table below, which lists 30 monthly excess retums to two different actively managed stock portfollos (A and a) and three different common risk 3. Compute the average monthly retum and monthly standard return deviation for each portfolio and ail three risk factors. Also state these values on an annualized basis. (Hint: Monthly returns can be annualized by muluplying them by 12 , while monthly standard deviations can be annualized by multiplying them by the square root of 12 .) Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers to three decimal pisces. b. Based on the return and standard deviation caloulations for the two portfolios from Part a, is it cleor whether one portfolio outperformed the other over this time period? Do not make any additional calculations to answer this question. Portfolio A esmed a return and a standard deviation than Partfolio B. Therefore, it ciear that one portfolio outperformed the other over this time period c. Calculate the correlation coefficients betveen each pair of the common risk factors (2.0,1B2,1k3, and 2B3), Use a minus sign to enter negative values, if any. Do not round intermediate calculabiona. pound vour anseers to four decimal places. Correlation between 182 . Cerveiation between 183 : Cormelation between 2 a 3 : d. In theory, what should be the value of the correlation coefficent between the common risk factors? Explain why. In theory the cormilations shevid be becaise ne want the factors to be
