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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
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jeff jeffy answered 1 year agoRelated Solutions
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1
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Return(B)
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