Question

a.  Given the following​ holding-period returns,CHART BELOW, compute the average returns and the standard deviations for the Sugita Corporation and for the market.

b.  If​ Sugita's beta is 1.32 and the​ risk-free rate is 6 ​percent, what would be an expected return for an investor owning​ Sugita? ​ (Note: Because the preceding returns are based on monthly​ data, you will need to annualize the returns to make them comparable with the​ risk-free rate. For​ simplicity, you can convert from monthly to yearly returns by multiplying the average monthly returns by​ 12.)

c.  How does​ Sugita's historical average return compare with the return you should expect based on the Capital Asset Pricing Model and the​ firm's systematic​ risk?

a.  Given the​ holding-period returns shown in the​ table, the average monthly return for the Sugita Corporation is

____​%. ​(Round to three decimal​ places.)

Month	Sugita Corp.		Market
1	2.2	​%	1.0	​%
2	0.0		2.0
3	−1.0		3.0
4	1.0		1.0
5	6.0		5.0
6	6.0		0.0

Answer 1

a.  Given the​ holding-period returns shown in the​ table, the average monthly return for the Sugita Corporation is 2.367%

b.  If​ Sugita's beta is 1.32 and the​ risk-free rate is 6​percent, what would be an expected return for an investor owning​Sugita? ​ (Note: Because the preceding returns are based on monthly​ data, you will need to annualize the returns to make them comparable with the​ risk-free rate. For​ simplicity, you can convert from monthly to yearly returns by multiplying the average monthly returns by​ 12.) 29.760%

c. Provided in image above