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eBook Problem 6 - 0 7 The following are monthly percentage price changes for four market indexes. Month DJIA S&P 5 0 0 Russell 2
eBook
Problem
The following are monthly percentage price changes for four market indexes.
Month DJIA S&P Russell Nikkei
Compute the following.
Average monthly rate of return for each index. Round your answers to five decimal places.
DJIA:
S&P :
Russell :
Nikkei:
Standard deviation for each index. Do not round intermediate calculations. Round your answers to four decimal places.
DJIA:
S&P :
Russell :
Nikkei:
Covariance between the rates of return for the following indexes. Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers to six decimal places.
Covariance DJIA S&P :
Covariance S&P Russell :
Covariance S&P Nikkei:
Covariance Russell Nikkei:
The correlation coefficients for the same four combinations. Use a minus sign to enter negative values, if any. Do not round intermediate calculations. Round your answers to four decimal places.
Correlation DJIA S&P :
Correlation S&P Russell :
Correlation S&P Nikkei:
Correlation Russell Nikkei:
Using the unrounded answers from parts ab and d calculate the expected return and standard deviation of a portfolio consisting of equal parts of the S&P and the Russell and the S&P and the Nikkei. Do not round intermediate calculations. Round your answers to five decimal places.
Expected return S&P and Russell :
Standard deviation S&P and Russell :
Expected return S&P and Nikkei:
Standard deviation S&P and Nikkei:
Since S&P and Russell have a strong
Select
correlation, meaningful reduction in risk
Select
if they are combined.
Since S&P and Nikkei have a strong
Select
correlation, meaningful reduction in risk
Select
if they are combined.
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