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Part II Problem Solving (40 Points) Show all work to receive full credit Year Tippy Stock Sibbit Stock S&P 500 2007 -10.8% 3.85% -2.87% 2008
Part II Problem Solving (40 Points)
Show all work to receive full credit
Year | Tippy Stock | Sibbit Stock | S&P 500 |
2007 | -10.8% | 3.85% | -2.87% |
2008 | -3.5% | -7.25% | 3.39% |
2009 | 4.9% | 4.33% | 1.45% |
2010 | 2.9% | 8.21% | 4.56% |
2011 | -3.8% | -2.55% | -2.38% |
The Z-statistic at the 5% confidence level is 1.6449
The Z-statistic at the 10% confidence level is 1.2816
The Z-statistic at the 1% confidence level is 2.3263
- What are the mean, standard deviation, and beta for Tippy stock?
- What are the mean, standard deviation, and beta for Sibbit Stock?
- What are the mean and standard deviation for S&P 500?
- What is the maximum expected loss for Tippy stock at the 1% confidence level using standard deviation?
- What is the maximum expected loss for S&P at the 5% confidence level using standard deviation?
- What is the maximum expected loss for stock Tippy stock at the 5% confidence level using beta?
- What is the maximum dollar loss if you invest $4,000,000 in Tippy stock using beta?
- What are the Sharpe and Treynor index for Sibbit stock? Assume that T-bill rate is 0.05%
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