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Return statistics for Apple stock, the S&P 500 and the risk-free asset, Treasury bills, are given below: A B C D 1 Year Apple S&P
Return statistics for Apple stock, the S&P 500 and the risk-free asset, Treasury bills, are given below:
A | B | C | D | |
1 | Year | Apple | S&P 500 | T-bill |
2 | 2012 | 0.06 | 0.13 | 0.034 |
3 | 2013 | -0.14 | -0.14 | 0.022 |
4 | 2014 | -0.06 | -0.05 | 0.015 |
5 | 2015 | 0.05 | 0.28 | 0.016 |
6 | 2016 | 0.14 | 0.08 | 0.028 |
7 | 2017 | 0.06 | 0.07 | 0.031 |
8 | 2018 | 0.04 | 0.05 | 0.031 |
9 | 2019 | 0.02 | 0.11 | 0.032 |
Calculate the excess returns for the stock and the S&P 500. What is the arithmetic average excess return for the S&P 500?
Regress the excess return on the stock on the excess return on the S&P 500. What is the R2 of the regression?
What is the stock's Jensen's alpha?
What is the stock's Sharpe ratio?
What is the stock's Treynor ratio?
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