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Stock: Boeing Inc. (BA) Return Metrics (60 months) Your Answer Mean Monthly Stock Excess Return (%): 1.49% Monthly Standard Deviation.p of Stock Excess Return (%):
Stock: Boeing Inc. (BA) | |
Return Metrics (60 months) | Your Answer |
Mean Monthly Stock Excess Return (%): | 1.49% |
Monthly Standard Deviation.p of Stock Excess Return (%): | 7.66% |
Annualized Standard Deviation.p of Stock Excess Return (%): | 26.54% |
Mean Monthly S&P 500 Return (%): | 0.87% |
Monthly Standard Deviation of S&P Excess Return (%): | 3.55% |
Annualized Standard Deviation of S&P Excess Return (%): | 12.30% |
Mean Monthly T-Bill Rate (%): | 0.09% |
Stock Metrics (60 months) | |
Estimated Alpha of Stock (%): | 0.623098368 |
Estimated Beta of Stock: | 122.73% |
Mean Monthly Apple Return: | 1.58% |
Regression Metrics (60 months) | |
Adjusted R2 | 0.317895661 |
Percent of Variance in Stock explained by Variance in S&P (%): | 31.79% |
Standard deviation of firm-specific return (%): | 7.66% |
Probability that true Alpha is zero (%): | |
Risk Metrics (60 months) | |
Monthly Value at Risk (VaR) at 95% confidence (%): | |
Kurtosis of stock excess return: | 55.36% |
Skew of stock excess return: | 38.82% |
Does the 95% VaR estimate underestimate true risk? (Yes/No/inconcl.): | Yes |
Performance Metrics (60 months) | |
Monthly Sharpe ratio: (avg excess stock return/sigma) | 5.63% |
Monthly Sharpe Ratio (i.e. ERP) on S&P: (avg excess S&P return / S&P sigma) | 7.09% |
Informaton Ratio: | 9.29% |
Treynor-Black optimal stock weight W* (%): | |
Treynor-Black optimal weight in S&P (%): (1 - W*) | |
New Sharpe Ratio with W* invested in stock & (1-W*) in S&P: | |
Treynor Measure (excess return over beta) |
I need help with the ones in bold, I can add extra data in comments if needed. Will rate ASAP!
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