Calculate the Sharpe ratio of the Pomona Business Fund. Rate of return = 10.0%. Variance of...
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Calculate the Sharpe ratio of the Pomona Business Fund. Rate of return = 10.0%. Variance of the returns = 25.0. Risk-free rate = 3.6%. REGRESSION OUTPUT: SDS vs. S&P 500 Index Regression Statistics Multiple R R Square Adjusted R Square Standard Error No of Observations ANOVA Regression Residual Total Consider the following simple linear regression of the security SDS returns against those of S&P 500 stock market index. Intercept S&P 500 Daily Return 0.9796 0.9595 0.9592 0.0050 128 df 1 126 127 SS MS 0.07400 0.07400 0.00312 0.00002 0.07712 Coefficients 0.00001032 STD Error 0.00044 F 2988.15 t Stat 0.0234 -1.8906 0.0346 -54.6639 0.0000 P-value 0.9814 Significance F 1.2668E-89 Lower 95% -0.0009 -1.9591 What percent of the SDS's returns variability is explained by that of the S&P 500 index? Upper 95% 0.0009 -1.8222 Calculate the Sharpe ratio of the Pomona Business Fund. Rate of return = 10.0%. Variance of the returns = 25.0. Risk-free rate = 3.6%. REGRESSION OUTPUT: SDS vs. S&P 500 Index Regression Statistics Multiple R R Square Adjusted R Square Standard Error No of Observations ANOVA Regression Residual Total Consider the following simple linear regression of the security SDS returns against those of S&P 500 stock market index. Intercept S&P 500 Daily Return 0.9796 0.9595 0.9592 0.0050 128 df 1 126 127 SS MS 0.07400 0.07400 0.00312 0.00002 0.07712 Coefficients 0.00001032 STD Error 0.00044 F 2988.15 t Stat 0.0234 -1.8906 0.0346 -54.6639 0.0000 P-value 0.9814 Significance F 1.2668E-89 Lower 95% -0.0009 -1.9591 What percent of the SDS's returns variability is explained by that of the S&P 500 index? Upper 95% 0.0009 -1.8222
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Related Book For
Corporate Finance Core Principles and Applications
ISBN: 978-1259289903
5th edition
Authors: Stephen Ross, Randolph Westerfield, Jeffrey Jaffe, Bradford Jordan
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