Question
In: Finance
The following table shows the annual returns over a six year period for the S&P 500...
The following table shows the annual returns over a six year period for the S&P 500 market index and MCH, Inc. Assume that the historical information represents a population. Use this data to calculate the correlation between both sets of security returns. Discuss your findings.
|
Year |
S&P 500 |
MCH, Inc. |
|
2013 |
0.15 |
0.37 |
|
2014 |
0.13 |
0.09 |
|
2015 |
0.14 |
-0.11 |
|
2016 |
-0.09 |
0.08 |
|
2017 |
0.12 |
0.11 |
|
2018 |
0.09 |
0.04 |
Solutions
Expert Solution
Please refer to below spreadsheet for calculation and answer. Cell reference also provided.
Cell reference -
Coefficient of Correlation value lies between -1 to 1, where +1 is perfectely positive correlation and -1 is perfectely negative correlation. Correlation measure suggests that how two stocks move in relation to each other.
If two assets have positive correlation then both stocks move in same direction and if it is negative then stocks move in opposite direction.
In given case, S&P 500 and MCH have correlation of 0.1350, which means both move in same direction but their correlation is very weak.
jeff jeffy answered 1 year agoRelated Solutions
The following table shows the annual returns over a six year period for the S&P 500...
The following table shows the annual
returns over a six year period for the S&P 500 market index and
MCH, Inc. Assume that the historical information represents a
population. Use this data to calculate the correlation between both
sets of security returns. Discuss your findings.
Year
S&P
500
MCH,
Inc.
2013
0.15
0.37
2014
0.13
0.09
2015
0.14
-0.11
2016
-0.09
0.08
2017
0.12
0.11
2018
0.09
0.04
Please show me each step. Thank you
Table 3 (below) shows annual returns for the S&P 500 for the years 2000-2016: Table 3:...
Table 3 (below) shows annual returns for the S&P 500 for
the years 2000-2016:
Table 3: Annual Returns
Year
Returns
2000
-9.0%
2001
-11.9%
2002
-22.0%
2003
28.4%
2004
10.7%
2005
4.8%
2006
15.6%
2007
5.5%
2008
-36.6%
2009
25.9%
2010
14.8%
2011
2.1%
2012
15.9%
2013
32.2%
2014
13.5%
2015
1.4%
2016
11.7%
Calculate:
The cumulative return over the 17 years;
The average annual return;
The standard deviation;
The Sharpe Ratio (assuming a risk free rate of 2.3% on...
The S&P 500 and Nohr Corp had the following returns over the past five years Year ...
The S&P 500 and Nohr Corp had the following returns over the
past five years
Year S&P
500
Nohr
.12
.23
.01
-.05
.18
.20
.09
.12
.10
.20
a. What was the mean AND standard
deviation of returns (population version)
for Nohr for the 5 years?
b. What was the beta of Nohr relative to the S&P 500?
c. What was the geometric mean return for Nohr
for the 5 years?
Use the following table to complete questions 1-3. S&P 500 returns and the risk-free rate of...
Use the following table to complete questions 1-3. S&P 500
returns and the risk-free rate of return can take on the following
possible values with the given probabilities.
State Pi S&P 500 Returns Risk-Free Rate
Recession 0.25 -10% 8%
Low Pullback 0.25 -5% 8%
No Growth 0.25 0% 8%
Low Growth 0.25 5% 8%
1. What is the expected value of S&P 500 returns? What is the
expected value of risk-free returns?
2. What is the variance and standard deviation...
Consider the following table for a period of six years: Returns Year Large-Company Stocks U.S. Treasury...
Consider the following table for a period of six
years:
Returns
Year
Large-Company Stocks
U.S. Treasury Bills
1
–14.99
%
7.35
%
2
–26.56
8.02
3
37.29
5.93
4
23.99
5.37
5
–7.28
5.48
6
6.63
7.73
Calculate the arithmetic average returns for large-company stocks
and T-bills over this time period. (Do not round
intermediate calculations and enter your answers as a percent
rounded to 2 decimal places, e.g., 32.16.)
Arithmetic
average returns
Large-company
stock
%
T-bills
%
Calculate...
Consider the following table for a period of six years. Returns Year Large-Company Stocks U.S. Treasury...
Consider the following table for a period of six years.
Returns
Year
Large-Company Stocks
U.S.
Treasury Bills
Year 1
–
15.39
%
7.43
%
Year 2
–
26.68
8.06
Year 3
37.37
6.01
Year 4
24.07
5.77
Year 5
–
7.44
5.52
Year 6
6.71
7.85
Requirement 1:
Calculate the arithmetic average returns for large-company
stocks and T-bills over this time period.
(Do not round intermediate calculations.
Enter your answers as a percentage rounded to 2
decimal places (e.g., 32.16).)...
Consider the following table for a period of six years: Returns Year Large-Company Stocks U.S. Treasury...
Consider the following table for a period of six years: Returns
Year Large-Company Stocks U.S. Treasury Bills 1 –15.69 % 7.49 % 2
–26.77 8.09 3 37.43 6.07 4 24.13 6.07 5 –7.56 5.55 6 6.77 7.94
Calculate the arithmetic average returns for large-company stocks
and T-bills over this time period. Arithmetic average returns
Large-company stock % T-bills % Calculate the standard deviation of
the returns for large-company stocks and T-bills over this time
period. Standard deviation Large-company stock %...
Part 1: The following table shows historical stock prices of Spider S&P 500 ETF and Amazon...
Part 1:
The following table shows historical stock prices of Spider
S&P 500 ETF and Amazon stock. The prices listed are the
adjusted closing prices on the first day of each month from
9/1/2016 to 8/1/2018. The monthly risk-free rates for the T-bills
are also listed in the table. Using the price data, calculate the
monthly returns for the Spider S&P 500 ETF and the Amazon
stock, respectively, from September 2016 to July 2018 (note that
the monthly return for...
The following table shows the annual returns (in percent) and summary measures for a sample of...
The following table shows the annual returns (in percent) and
summary measures for a sample of returns from the Vanguard Energy
Fund and the Vanguard Health Care Fund from 2012 through 2016.
Year
Energy (%)
Health Care (%)
2012
44.6
15.41
2013
19.68
10.87
2014
37
10.43
2015
-42.87
-18.45
2016
28.36
20.96
If the risk-free rate is 3%, using mean-variance analysis, which
fund performed better, and why?
a.
The Energy Fund performed better, because its Sharpe Ratio was
higher....
You are considering the relationship between annual returns on the S&P 500 index (January 31 to...
You are considering the relationship between annual returns on
the S&P 500 index (January 31 to January 31) and annual changes
in the unemployment rate. You define:
S = annual % change in the S&P500 (SPX)
U = annual % change in the unemployment rate
You consider the following univariate relationship:
Si = b0 + b1Ui +
εi
You have data on annual changes in the unemployment rate and the
S&P500 (SPX) from 2002 through 2020 (19 observations) and you...
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