Assume you are to invest 70% of the money in the first security and 30% in the
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| Assume you are to invest 70% of the money in the first security and 30% in the second security. |
| MSF Return | GM Return | S&P 500 Return | Portfolio Return |
| 3.40% | 1.56% | 0.05% | 2.84% |
| -0.37% | 11.64% | 1.93% | 3.23% |
| 11.67% | 6.44% | 2.22% | 10.10% |
| 1.70% | 0.26% | 2.81% | 1.27% |
| 1.63% | -4.01% | 0.98% | -0.06% |
| 11.07% | 3.46% | 5.62% | 8.79% |
| -0.84% | -7.22% | -3.89% | -2.75% |
| -2.67% | -6.71% | -2.69% | -3.88% |
| 2.47% | 1.10% | 0.27% | 2.06% |
| 6.15% | 16.22% | 2.16% | 9.17% |
| -0.23% | -6.92% | 0.48% | -2.24% |
| 7.58% | -3.78% | 3.60% | 4.17% |
| 6.30% | -4.91% | 3.03% | 2.94% |
| 1.82% | -5.59% | 0.43% | -0.40% |
| -6.61% | 8.67% | -6.94% | -2.03% |
| 4.27% | 3.72% | 1.79% | 4.10% |
| -8.40% | -10.93% | -9.18% | -9.16% |
| 2.82% | 16.65% | 7.87% | 6.97% |
| 7.74% | 1.18% | 2.97% | 5.77% |
| 5.28% | -5.10% | 1.79% | 2.16% |
| 10.73% | 4.99% | 3.93% | 9.01% |
| -4.95% | -14.40% | -6.58% | -7.78% |
| 8.31% | 16.81% | 6.89% | 10.86% |
| 1.72% | 4.70% | 1.31% | 2.62% |
| 1.50% | -8.06% | -1.81% | -1.36% |
| 0.85% | 2.07% | 1.72% | 1.21% |
| 3.12% | -0.85% | 2.04% | 1.93% |
| 5.95% | -3.12% | 3.40% | 3.23% |
| 4.17% | 2.76% | 2.86% | 3.75% |
| 7.95% | -8.77% | -0.16% | 2.93% |
| -4.57% | -8.66% | -8.41% | -5.79% |
| -2.65% | -31.04% | -12.51% | -11.17% |
| 13.63% | 7.27% | 12.68% | 11.72% |
| 2.54% | 16.11% | 4.53% | 6.61% |
| 11.06% | -2.24% | 1.84% | 7.07% |
| 0.74% | -1.62% | 5.51% | 0.03% |
| 10.28% | 19.04% | 7.01% | 12.91% |
| -6.74% | -0.13% | -3.92% | -4.76% |
| -3.74% | 16.69% | -2.77% | 2.39% |
| 6.01% | 26.96% | 10.75% | 12.29% |
| 3.90% | -5.02% | 3.71% | 1.22% |
| 4.29% | 21.71% | -1.11% | 9.52% |
| 0.41% | 1.28% | 2.61% | 0.67% |
| 1.46% | 11.94% | 4.24% | 4.60% |
| 6.96% | -0.42% | 5.24% | 4.75% |
| -0.76% | 3.65% | 0.55% | 0.56% |
| 8.50% | -0.24% | 2.22% | 5.88% |
| 5.17% | -3.94% | 2.27% | 2.44% |
| 6.16% | -13.78% | 2.90% | 0.18% |
| -6.61% | 7.55% | -4.76% | -2.36% |
| 17.63% | 3.26% | 6.91% | 13.32% |
| -0.13% | 6.32% | -0.83% | 1.81% |
| 1.73% | 1.31% | 4.36% | 1.61% |
| -7.53% | -10.06% | -5.26% | -8.29% |
| -3.72% | -11.40% | -3.14% | -6.02% |
| 3.19% | -6.38% | 3.58% | 0.32% |
| -9.99% | -13.33% | -8.80% | -10.99% |
| -1.81% | 2.03% | 0.01% | -0.66% |
| -5.53% | -17.89% | -8.39% | -9.24% |
| Average monthly return: | 2.44% | 0.52% | 0.85% | 1.86% | ||||
| Standard deviation of monthly returns: | 5.85% | 10.47% | 4.93% | 5.94% | ||||
| Average return (annual): | 29.28% | 6.27% | 10.16% | 22.38% | ||||
| Standard deviation (annual): | 20.26% | 36.26% | 17.07% | 20.58% | ||||
| Maximum of monthly returns: | 17.63% | 26.96% | 12.68% | 13.32% | ||||
| Minimum of monthly returns: | -9.99% | -31.04% | -12.51% | -11.17% | ||||
| Correlation between securities 1 and 2: | ||||||||
| Correlation between security 1 and the S&P 500: | ||||||||
| Correlation between security 2 and the S&P 500: | ||||||||
Calculate the correlation between securities 1 and 2. Correlation between security 1 and the S&P 500. Correlation between security 2 and the S&P 500.
Expert Answer:
Solution To calculate the correlation between securities 1 and 2 we can use the formula Correlation Covariance between securities 1 and 2 Standard deviation of security 1 x Standard deviation of secur... View the full answer
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