FINANCIAL RISK MODELING

Question 5 19 Consider the following sample of the stock of company X, the general stock market (GSM) and risk-free Treasuries bills (T). Year 1 2 3 4 5 Expected value Standard deviation Rates of return X GSM T 0,17 0,168 0,064 0,34 0,315 0,084 -0,05 -0,032 0,078 0,32 0,306 0,056 0,10 0,077 0,035 17,6% 16,68% 6,34% 16,17% 14,91% 1,94% 5.1 Determine the beta (B) of the stock of company X. Interpret its value. 5.2 Determine the Jensen index of the stock X and illustrate the value on a - B diagram. 5.3 Determine the Sharpe index of the stock X and illustrate the value on a r-o diagram. 5.4 Interpret the index values. 5 [4] Question 5 19 Consider the following sample of the stock of company X, the general stock market (GSM) and risk-free Treasuries bills (T). Year 1 2 3 4 5 Expected value Standard deviation Rates of return X GSM T 0,17 0,168 0,064 0,34 0,315 0,084 -0,05 -0,032 0,078 0,32 0,306 0,056 0,10 0,077 0,035 17,6% 16,68% 6,34% 16,17% 14,91% 1,94% 5.1 Determine the beta (B) of the stock of company X. Interpret its value. 5.2 Determine the Jensen index of the stock X and illustrate the value on a - B diagram. 5.3 Determine the Sharpe index of the stock X and illustrate the value on a r-o diagram. 5.4 Interpret the index values. 5 [4]