Question
SPY Portfolio (SPY, MSFT, AAPL, WFC) BA Portfolio + BA Summary Statistics Average 0.70% 1.04% 1.43% 1.09% Variance 0.0014 0.0022 0.0038 0.0020 St. Dev. 3.71%
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| SPY | Portfolio (SPY, MSFT, AAPL, WFC) | BA | Portfolio + BA |
| Summary Statistics |
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| Average | 0.70% | 1.04% | 1.43% | 1.09% |
| Variance | 0.0014 | 0.0022 | 0.0038 | 0.0020 |
| St. Dev. | 3.71% | 4.64% | 6.20% | 4.43% |
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| Regression Analysis Summary |
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| Intercept |
| 0.00204 | 0.00793 | 0.00287 |
| Beta | 1 | 1.20562 | 0.92070 | 1.15489 |
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| Var (residuals) |
| 0.000149 | 0.002676 | 0.000126 |
| St. Dev. (residuals) |
| 1.22% | 5.17% | 1.12% |
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| Rf | .05% |
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| R (CAPM) |
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| Jensen Alpha |
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| Treynor Index | 0.0065 | 0.0082 | 0.0150 | 0.0090 |
| Sharpe Ratio | 0.1740 | 0.2142 | 0.2231 | 0.2350 |
| M^2 |
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1. Calculate M2 for BA and (Portfolio + BA), use SPY as a proxy for the Market Portfolio.
a. 0.223% and 0.235%
b. 0.18% and 0.23%
c. 0.14% and 0.11%
d. 0.56% and 0.47%
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Quantitative Finance Its Development Mathematical Foundations And Current Scope
Authors: T. Wake Epps
1st Edition
0470431997, 9780470431993
