Question 1 (7 points)

You downloaded the annual returns (over 21 years from 2000 to 2020) on the S&P500, US 10-year Treasury-Bond and US 3-month Treasury-Bill. Using this historical data as a sample, you want to estimate the following statistics for S&P500 Index. Show the result rounded up to the second digit after the decimal point (e.g. 5.53% for return and 0.35 for correlation and Sharpe ratio).

Average return (both arithmetic and geometric mean)

Standard deviation

Standard error

Correlation between S&P500 and US 10-year Treasury-Bond

Sharpe ratio (using 3-month Treasury-Bill return as the risk-free rate)

What was the compound rate of annual return that was actually earned over the last 21 years?

Explain the difference between the standard deviation of the sample and the standard error of the sample mean which you obtained from and .

Data:

	Return	Return	Return
Year	S&P 500	10 Year T-Bond	3-month T-Bill
2000	-10.14%	5.11%	5.73%
2001	-13.04%	5.05%	1.80%
2002	-23.37%	3.81%	1.20%
2003	26.38%	4.25%	1.00%
2004	8.99%	4.22%	2.18%
2005	3.00%	4.39%	4.31%
2006	13.62%	4.70%	4.88%
2007	3.53%	4.02%	3.31%
2008	-38.49%	2.21%	1.59%
2009	23.45%	3.84%	0.14%
2010	12.78%	3.29%	0.13%
2011	0.00%	1.88%	0.03%
2012	13.41%	1.76%	0.05%
2013	29.60%	3.04%	0.07%
2014	11.39%	2.17%	0.05%
2015	-0.73%	2.27%	0.21%
2016	9.54%	2.45%	0.51%
2017	19.42%	2.41%	1.39%
2018	-6.24%	2.68%	2.37%
2019	28.88%	1.92%	1.55%
2020	16.26%	0.93%	0.09%