4-) Calculate the betas of Lyxor ChinaH, Lyxor MSIndian, and Lyxor USDJIQ. To calculate the covariance...

4-) Calculate the betas of Lyxor ChinaH, Lyxor MSIndian, and Lyxor USDJIQ. To calculate the covariance with the market proxy, use the Lyxor return data shown in Exhibit1 in the case. Assuming a risk-free rate of 2.5% and a market risk premium of 5.5%, what are the required returns for each of the ETFs? (use CAPM)

Exhibit 1

	Annual Returns (%)

	Lyxor ChinaH	Lyxor MSIndia	Lyxor USDJIA	Lyxor World
2009	2	5.86	5.56	7.69
2010	4.25	22.4	6.11	5.79
2011	-29.4	-27.07	7.94	-3.28
2012	13.23	0.6	18.29	20.75
2013	8.86	-6.84	17.09	14.14
2014	2.31	33.87	14.2	15.06
2015	-2.96	-9.28	-4.71	-4.28

Solutions

Expert Solution

SEE THE IMAGE. ANY DOUBTS, FEEL FREE TO ASK. THUMBS UP PLEASE

jeff jeffy answered 1 year ago

Next > < Previous

Related Solutions

1. Calculate the covariance between profits and market capitalization and what does the covariance indicate about...

1. Calculate the covariance between profits and market capitalization and what does the covariance indicate about the relationship between profits and market capitalization? (positive or negative). 2. Calculate the correlation coefficient between profits and market capitalization and what does this indicate about the relationship between profits and market capitalization? (strong/weak/non-linear relationship) . Company Profits ($ millions) Market Capitalization ($ millions) Alliant Techsystems 313.20 1891.90 Amazon.com 631.00 81458.60 AmerisourceBergen 706.60 10087.60 Avis Budget Group -29.00 1175.80 Boeing 4018.00 55188.80 Cardinal Health...

Rader Tire has the following results for the last six periods. Calculate and compare the betas...

Rader Tire has the following results for the last six periods. Calculate and compare the betas using each index. Do not round intermediate calculations. Round your answers to three decimal places. RATES OF RETURN Period Rader Tire (%) Proxy Specific Index (%) True General Index (%) 1 29 14 16 2 13 12 12 3 -11 -7 -9 4 18 12 20 5 20 20 26 6 -5 -8 0 βusing proxy: βusing true: If the current period return for...

Given the returns and probabilities for the three possiblestates listed here, calculate the covariance between...

Given the returns and probabilities for the three possible states listed here, calculate the covariance between the returns of Stock A and Stock B. For convenience, assume that the expected returns of Stock A and Stock B are 0.12 and 0.15, respectively. (Round your answer to 4 decimal places. For example .1244) Probability Return(A) Return(B) Good 0.35 0.30 0.50 OK 0.50 0.10 0.10 Poor 0.15 -0.25 -0.30

Calculate the sample correlation and covariance for (i) Final_exam and assignment_grade; (ii) Final_exam and Tutorial_attend; and...

Calculate the sample correlation and covariance for (i) Final_exam and assignment_grade; (ii) Final_exam and Tutorial_attend; and (iii) assignment_grade and Tutorial_ attend. Once again using Excel formulae without the use of Data Analysis Tool Pack very important the teacher wants us to use hand by hand using excel in a step by step manner: e.g. calculating the sample mean which would be sum (x) /n... we can't use excel formula that is (=covariance(A..) please show steps with snipping tool. Final_exam assignment_grade...

Calculate the sample correlation and covariance for (i) Final_exam and assignment_grade; (ii) Final_exam and Tutorial_attend; and...

Calculate the sample correlation and covariance for (i) Final_exam and assignment_grade; (ii) Final_exam and Tutorial_attend; and (iii) assignment_grade and Tutorial_ attend, Carefully interpret your results. Once again use Excel for these calculations using both methods i.e. Data Analysis Tool Pack (options covariance, correlation) and using Excel formulae without use of Data Analysis Tool Pack. (Hint- if you find a discrepancy in your answers between the 2 excel methods can you explain why?) Final_exam assignment_grade Tutorial_attend 100 90 5 100 75...

Calculate the covariance between variables X and Y. Is it a positive or negative relationship between...

Calculate the covariance between variables X and Y. Is it a positive or negative relationship between the two variables? b. Calculate correlation coefficient between X and Y. Is it a positive or negative relationship? Is it a strong linear, weak linear or nonlinear relationship between X and Y? c. Use the Y data to calculate mean, range, standard deviation and variance. d. Use the first Y value to calculate the Z-score. Is it an outlier? e. Calculate the 60th percentile...

Covariance and Correlation Based on the following information, calculate the expected return and standard deviation of...

Covariance and Correlation Based on the following information, calculate the expected return and standard deviation of each of the following stocks. Assume each state of the economy is equally likely to happen. What are the covariance and correlation between the returns of the two stocks? STATE OF ECONOMY RETURN ON STOCK A RETURN ON STOCK B Bear Normal Bull -.032 .124 .193 -.103 -.025 .469

Covariance and Correlation Based on the following information, calculate the expected return and standard deviation of...

7) COVARIANCE AND CORRELATION COEFFICIENT. What is covariance? How is covariance and correlation coefficients linked? How...

7) COVARIANCE AND CORRELATION COEFFICIENT. What is covariance? How is covariance and correlation coefficients linked? How does the concept of covariance link to the Timura depiction of an efficient frontier oriented “silver bullet” In addition, draw a graphic that explains your thinking using real estate, international, private equity, venture capital, etc.

Given the returns and probabilities for the three possible states listed here, calculate the covariance between...

Given the returns and probabilities for the three possible states listed here, calculate the covariance between the returns of Stock A and Stock B. For convenience, assume that the expected returns of Stock A and Stock B are 0.11 and 0.15, respectively. (Round your answer to 4 decimal places. For example .1244) Probability Return(A) Return(B) Good 0.35 0.30 0.50 OK 0.50 0.10 0.10 Poor 0.15 -0.25 -0.30

Subjects