Question
Suppose that the historical equity returns for two assets as well as the risk-free rate and S&P500 are as follows: Nora Mora Rf S&P500 2005
- Suppose that the historical equity returns for two assets as well as the risk-free rate and S&P500 are as follows:
| Nora | Mora | Rf | S&P500 | |
| 2005 | 5.75% | 67.83% | 1.41% | 9.69% |
| 2006 | 82.60% | 89.06% | 1.20% | 13.91% |
| 2007 | 65.18% | 72.14% | 1.45% | 5.38% |
| 2008 | 44.89% | 80.43% | 1.12% | 12.17% |
| 2009 | 56.57% | 17.24% | 1.20% | 10.51% |
| 2010 | 13.50% | 31.19% | 1.69% | 9.91% |
| 2011 | 71.00% | 3.77% | 1.36% | 7.75% |
| 2012 | 53.33% | 65.16% | 1.70% | 8.99% |
| 2013 | 66.55% | 38.25% | 1.76% | 6.57% |
| 2014 | 66.89% | 45.39% | 1.39% | 6.34% |
| 2015 | 7.14% | 26.75% | 1.40% | 9.20% |
| 2016 | 70.32% | 53.26% | 1.10% | 9.66% |
| 2017 | 96.70% | 70.56% | 1.47% | 14.90% |
| 2018 | 3.87% | 4.49% | 1.86% | 12.36% |
| 2019 | 83.90% | 47.83% | 1.12% | 13.82% |
| 2020 | 30.07% | 63.91% | 1.25% | 13.18% |
| 2021 | 45.68% | 74.10% | 1.13% | 9.85% |
- What is your estimate for the beta-equity of Mora?
- What is your estimate for the alpha-equity of Nora?
- What is the covariance between Nora and Mora?
- What is the expected return on the market and the risk-free rate?
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Cost management a strategic approach
Authors: Edward J. Blocher, David E. Stout, Gary Cokins
5th edition
73526940, 978-0073526942
