1) what was the alpha for DISH Network during this period? 2) What was Alphabet's beta (to...
Question:
1) what was the alpha for DISH Network during this period?
2) What was Alphabet's beta (to two decimal places) during this period?
3) What is the r-squared (in percentage terms, to two decimal places) for Under Armor during this period?
4) Which stock(s) were underperformers, regardless of market movement (i.e stock would be down in a flat market), during this period? choice Alphabet, CarMax, DISH Network, Netflix, Under Armor.
5)Which stock(s) had their proportion of systematic risk greater than 50%?
6) Which stock(s) were less sensitive to the movements of the market then a typical stock?
7)Which stock had the highest Sharpe Ratio?
8)Which stock(s) had statistically significant over/under performance outside of market movements during this period?
9)Which stock(s) had their proportion of unsystematic risk to total risk greater than 80%?
10)Assume the risk-free rate continues around 20 basis points a month, the market's mean return will be 80 basis points. You have analyzed these stocks and forecast that they will outperform by 25 basis points per month in a flat market environment going forward. It is your practice to keep historical standard deviations and correlation coefficients constant in your forecasts. Which stock would have the highest expected sharpe ratio of these five stocks?
Date | Rf | SMB | HML | S&P 500 - Monthly Returns | Alphabet Cl A - Monthly Returns | CarMax- Monthly Returns | DISH Network- Monthly Returns | Netflix - Monthly Returns | Under Armour Cl A- Monthly Returns |
12/31/19 | 0.0008 | 0.7200 | 1.7900 | 0.0171 | 0.0107 | 0.0333 | 0.0380 | 0.0283 | 0.1113 |
11/29/19 | 0.0009 | 0.8000 | -2.0200 | -0.0380 | -0.1006 | -0.1405 | -0.0022 | 0.0948 | 0.1448 |
10/31/19 | 0.0009 | 0.2800 | -1.9300 | 0.0719 | 0.0952 | 0.1027 | 0.0091 | 0.0739 | -0.0675 |
09/30/19 | 0.0010 | -0.9700 | 6.8300 | 0.0564 | 0.0493 | 0.0829 | 0.0152 | -0.0890 | 0.0801 |
08/30/19 | 0.0011 | -2.3200 | -4.9500 | 0.0199 | -0.0108 | 0.0170 | -0.0089 | -0.0905 | 0.1131 |
07/31/19 | 0.0012 | -1.9400 | 0.4200 | 0.0476 | 0.0645 | 0.1955 | -0.1185 | -0.1207 | -0.1603 |
06/28/19 | 0.0011 | 0.2500 | -0.7100 | 0.1282 | 0.1590 | 0.3682 | 0.0637 | 0.0700 | 0.1314 |
05/31/19 | 0.0013 | -1.3400 | -2.3700 | -0.1235 | -0.1324 | -0.3835 | 0.0282 | -0.0736 | -0.3510 |
04/30/19 | 0.0014 | -1.7400 | 2.1700 | -0.0823 | -0.0653 | -0.1003 | 0.1082 | 0.0392 | -0.2968 |
03/29/19 | 0.0013 | -2.9800 | -4.0500 | -0.0004 | 0.0697 | 0.1069 | -0.0252 | -0.0043 | -0.0657 |
02/28/19 | 0.0014 | 2.0400 | -2.6800 | 0.0302 | 0.0271 | -0.0986 | 0.0600 | 0.0548 | 0.1435 |
01/31/19 | 0.0014 | 2.9000 | -0.4400 | 0.0363 | 0.0360 | 0.0439 | 0.2283 | 0.2684 | -0.0852 |
12/31/18 | 0.0013 | -2.4200 | -1.9000 | 0.0217 | 0.0308 | 0.0588 | -0.2378 | -0.0646 | 0.0356 |
11/30/18 | 0.0013 | -0.6800 | 0.2600 | 0.0187 | 0.0257 | 0.0567 | 0.0657 | -0.0519 | 0.0715 |
10/31/18 | 0.0013 | -4.8200 | 3.4300 | -0.0158 | -0.0227 | -0.0510 | -0.1404 | -0.1934 | -0.1933 |
09/28/18 | 0.0012 | -2.3000 | -1.7000 | 0.0144 | 0.1250 | 0.0107 | 0.0116 | 0.0175 | -0.0899 |
08/31/18 | 0.0011 | 1.1400 | -3.9800 | 0.0705 | -0.0214 | 0.1092 | 0.1201 | 0.0896 | 0.1118 |
07/31/18 | 0.0010 | -2.2500 | 0.4500 | -0.0635 | -0.0771 | 0.0054 | -0.0610 | -0.1379 | -0.0126 |
06/29/18 | 0.0010 | 1.1300 | -2.3300 | 0.0405 | 0.0188 | 0.1155 | 0.1374 | 0.1133 | 0.0922 |
05/31/18 | 0.0011 | 5.3100 | -3.1300 | 0.0194 | 0.0447 | 0.1240 | -0.1192 | 0.1253 | -0.0625 |
04/30/18 | 0.0009 | 1.1000 | 0.4800 | 0.0321 | 0.0006 | 0.0565 | -0.1145 | 0.0579 | 0.0873 |
03/29/18 | 0.0009 | 4.0600 | -0.2300 | 0.0801 | 0.0774 | -0.0630 | -0.0911 | 0.0136 | 0.1737 |
02/28/18 | 0.0009 | 0.2600 | -1.0300 | -0.0903 | -0.0583 | -0.0506 | -0.1111 | 0.0780 | -0.2601 |
01/31/18 | 0.0008 | -3.1800 | -1.3600 | 0.0204 | 0.0175 | -0.0271 | -0.0178 | 0.4081 | 0.0801 |
12/29/17 | 0.0007 | -1.3200 | 0.0300 | -0.0684 | -0.0965 | -0.0905 | -0.0573 | 0.0234 | 0.0419 |
11/30/17 | 0.0006 | -0.5600 | -0.0500 | 0.0057 | -0.0201 | -0.0433 | 0.0435 | -0.0451 | 0.0377 |
10/31/17 | 0.0005 | -1.9300 | 0.2200 | 0.0326 | 0.0037 | 0.0451 | -0.1049 | 0.0832 | 0.0240 |
09/29/17 | 0.0005 | 4.4500 | 3.0900 | 0.0372 | 0.0868 | 0.0248 | -0.0534 | 0.0380 | -0.1117 |
08/31/17 | 0.0006 | -1.6500 | -2.0700 | 0.0062 | 0.0265 | 0.0573 | -0.1053 | -0.0383 | 0.0756 |
07/31/17 | 0.0005 | -1.4600 | -0.2200 | 0.0241 | 0.0799 | 0.1027 | 0.0202 | 0.2158 | 0.1768 |
06/30/17 | 0.0005 | 2.2300 | 1.4900 | 0.0038 | -0.0179 | 0.0090 | -0.0158 | -0.0838 | 0.0862 |
05/31/17 | 0.0005 | -2.5200 | -3.7500 | -0.0254 | -0.0605 | 0.0003 | -0.0104 | 0.0714 | -0.0139 |
04/28/17 | 0.0004 | 0.7200 | -2.1300 | -0.0369 | -0.0662 | -0.1324 | 0.0150 | 0.0297 | 0.1962 |
03/31/17 | 0.0004 | 1.1300 | -3.3300 | 0.0573 | 0.1223 | 0.1129 | 0.0240 | 0.0400 | -0.0395 |
02/28/17 | 0.0003 | -2.0400 | -1.6700 | 0.0111 | 0.0166 | -0.0694 | 0.0478 | 0.0101 | 0.0858 |
01/31/17 | 0.0002 | -1.1300 | -2.7400 | 0.0307 | 0.0030 | -0.0824 | 0.0214 | 0.1366 | 0.0615 |
12/30/16 | 0.0003 | 0.0900 | 3.6000 | 0.0233 | 0.0609 | -0.0094 | 0.0084 | 0.0581 | -0.2403 |
11/30/16 | 0.0002 | 5.6700 | 8.2100 | 0.0206 | 0.0193 | 0.1290 | -0.0190 | -0.0630 | 0.0204 |
10/31/16 | 0.0001 | -4.4100 | 4.1200 | 0.0031 | 0.0103 | 0.0136 | 0.0690 | 0.2671 | -0.1933 |
09/30/16 | 0.0001 | 2.1300 | -1.2100 | 0.0206 | 0.0170 | 0.0506 | 0.0906 | 0.0113 | -0.0800 |
08/31/16 | 0.0002 | 1.1700 | 3.1100 | 0.0062 | -0.0582 | 0.0037 | -0.0597 | 0.0679 | 0.1357 |
07/29/16 | 0.0001 | 2.5100 | -1.2900 | 0.0141 | 0.0677 | 0.0740 | 0.0195 | -0.0025 | -0.1084 |
06/30/16 | 0.0001 | 0.5800 | -1.4500 | 0.0103 | 0.0905 | -0.0122 | 0.0501 | -0.1081 | 0.0865 |
05/31/16 | 0.0001 | -0.1900 | -1.6500 | 0.0012 | 0.0034 | -0.0824 | 0.0124 | 0.1393 | -0.0407 |
04/29/16 | 0.0001 | 0.6800 | 3.1900 | 0.0397 | 0.0302 | -0.0325 | 0.0655 | -0.1193 | -0.0405 |
03/31/16 | 0.0001 | 0.7500 | 1.1000 | 0.0190 | 0.0350 | 0.0360 | -0.0185 | 0.0944 | -0.2602 |
02/29/16 | 0.0002 | 0.8100 | -0.5800 | 0.0198 | 0.0214 | 0.1142 | -0.0236 | 0.0171 | -0.0568 |
01/29/16 | 0.0002 | -3.3900 | 2.0700 | 0.0370 | -0.0420 | 0.1572 | -0.1558 | -0.1971 | -0.0096 |
12/31/15 | 0.0001 | -2.8100 | -2.5900 | -0.0182 | 0.0073 | -0.0639 | -0.0882 | -0.0726 | -0.1960 |
11/30/15 | 0.0000 | 3.6000 | -0.3900 | 0.0002 | 0.0180 | -0.0950 | -0.0041 | 0.1379 | -0.0240 |
10/30/15 | 0.0000 | -1.8600 | -0.4500 | 0.0014 | -0.0019 | 0.0118 | 0.0794 | 0.0496 | 0.0043 |
09/30/15 | 0.0000 | -2.6300 | 0.5800 | 0.0369 | 0.1248 | 0.1883 | -0.0157 | -0.1023 | -0.0167 |
08/31/15 | 0.0000 | 0.3600 | 2.8000 | 0.0026 | -0.0605 | -0.0863 | -0.0826 | 0.0063 | 0.0636 |
07/31/15 | 0.0000 | -4.2000 | -4.0700 | 0.0180 | 0.0579 | 0.0134 | -0.0458 | 0.2180 | -0.1413 |
06/30/15 | 0.0000 | 2.9000 | -0.7800 | 0.0039 | -0.0721 | 0.0362 | -0.0435 | 0.0527 | 0.0027 |
05/29/15 | 0.0000 | 0.9200 | -1.1300 | 0.0678 | 0.0637 | 0.1046 | 0.0463 | 0.1214 | 0.0136 |
04/30/15 | 0.0000 | -3.0400 | 1.8300 | -0.0013 | -0.0580 | 0.0471 | -0.0343 | 0.3355 | -0.0204 |
03/31/15 | 0.0000 | 3.0700 | -0.4100 | -0.0496 | -0.0214 | -0.1814 | -0.0664 | -0.1226 | 0.0598 |
02/27/15 | 0.0000 | 0.6100 | -1.8700 | -0.0158 | 0.0199 | -0.0581 | 0.0667 | 0.0749 | -0.0651 |
International Financial Reporting and Analysis
ISBN: 978-1408075012
5th edition
Authors: David Alexander, Anne Britton, Ann Jorissen