Acrobat Reader File Edit View Sign Window Help DO $ 43% Sat 6:34 PM Q . .. & Problem Set Number One Winter 2023 (1).pdf Home Tools Problem Set Num... midterm review W... A Sign In T 8 / 8 + 75% Y Problem Six (15 marks) Search 'Extract Page You work for a small investment management firm. You have been provided with the following historical information for three stocks and the market index. The information is shown in the table below Convert AAA Inc. BBB Inc. 4 CCC Inc. Stock Dividend Stock Dividend Stock Dividend Market Price Price Price Index 2012 $38 $65 $150 18,840 Edit PDF 2013 $41 $0.70 $70 $1.40 $125 $3.50 20,320 2014 $45 $0.70 $54 $1.5 $135 $3.60 22,220 2015 $52 $0.85 $62 $1.65 $140 $3.65 25,325 Create PDF 2016 $42 $0.90 $85 $1.75 $120 $3.65 19,520 2017 $55 $0.95 $95 $1.90 $162 $3.75 24,100 L'O 2018 $62 $1.00 $80 $2.00 $187 $3.80 25,500 Comment 2019 $75 $1.05 $92 $3.20 $203 $4.33 29,020 2020 $83 $1.20 $115 $3.50 $218 $4.85 33,572 2021 $97 $1.35 $140 $4.00 $235 $5.45 Combine Files 39,372 2022 $80 $1.35 $96 $4.00 $195 $5.45 36,283 Organize Pages v Using the data provided you are to calculate the following for each of the stocks and the market index a) What is the average annual return for the past ten years? Compress PDF b) What is the geometric average annual return (effective annual rate of return) for the past ten A years? c) What is the population standard deviation and the sample standard deviation? Redact d) What is the correlation coefficient between Stocks AAA and BBB? Between Stocks AAA and CCC? Between Stocks BBB and CCC? e) What is the sample covariance between Stocks AAA and BBB, between Stocks AAA and Protect CCC and between stocks BBB and CCC? f) What is the coefficient of variation for each of the stocks and the market index? You should use the sample standard deviation. Request E-signat... g) What is the beta of each of the stocks? You can use Excel's "slope" function to estimate this. h) Assume that the beta of stock AAA is 0.60, the beta of stock BBB is 1.50 and the beta of stock CCC is 2.10. What is the beta of a portfolio where the weight in stock AAA is 35% the weight Lu Fill & Sign in stock BBB is 45% and the weight in stock CCC is 20%? i) Assuming the risk-free rate is 3.75% and the market risk premium is 7.70% what is the expected return on the portfolio in part (h) above? Convert, edit and e-sign PDF forms & agreements Free 7-Day Trial