Question
Using the data from the accompanying table, what is the volatility of an equally weighted portfolio of Canadian PacificCanadian Pacific and OpenTextOpenText stock? The volatility
Using the data from the accompanying table, what is the volatility of an equally weighted portfolio of Canadian PacificCanadian Pacific and OpenTextOpenText stock?
The volatility of the portfolio is
Estimated Annual Volatilities and Correlations for Selected Socks (Based on Monthly Returns, 2013-2017)
Stantec
Canadian
Tire
Canadian
Pacific
OpenText
Loblaw
Canadian
Natural
Resources
WestJet
Airlines Ltd.
Standard Deviation
24%
18%
22%
22%
17%
24%
22%
Stantec
1.00
0.18
0.41
0.12
0.12
0.44
0.24
Canadian Tire
0.18
1.00
0.25
0.02
0.35
0.12
0.00
Canadian Pacific
0.41
0.25
1.00
0.29
0.28
0.27
0.19
OpenText Corporation
0.12
0.02
0.29
1.00
0.21
0.09
0.00
Loblaw
0.12
0.35
0.28
0.21
1.00
0.07
0.05
Canadian Natural Resources
0.44
0.12
0.27
0.09
0.07
1.00
0.18
WestJet Airlines Ltd.
0.24
0.00
0.19
0.00
0.05
0.18
1.00
Source: Data from Yahoo!Finance Canada.
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Handbook Of Asian Finance Financial Markets And Sovereign Wealth Funds
Authors: David Lee, Greg N. Gregoriou
1st Edition
0128009829, 978-0128009826
