Question
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
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% |
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started