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Sheet 5 Use Sheet 5 to complete the following Date GOOG Return NFLX Return Market Return Risk-Free Return   GOOG Excess Return* NFLX Excess Return* Market Excess Return* 3/1/2017 0.7700 4.0000 3.7200 0.0050   0.2700 3.5000 3.2200 4/1/2017 9.2100 2.9700 -0.0400 0.0050   8.7100 2.4700 -0.5400 5/1/2017 6.5000 7.1400 0.9100 0.0050   6.0000 6.6400 0.4100 6/1/2017 -5.8200 -8.3800 1.1600 0.0050   -6.3200 -8.8800 0.6600 7/1/2017 2.4000 21.5800 0.4800 0.0050   1.9000 21.0800 -0.0200 8/1/2017 0.9500 -3.8300 1.9300 0.0050   0.4500 -4.3300 1.4300 9/1/2017 2.1100 3.8000 0.0500 0.0050   1.6100 3.3000 -0.4500 10/1/2017 6.0000 8.3200 1.9300 0.0050   5.5000 7.8200 1.4300 11/1/2017 0.4700 -4.5100 2.2200 0.0050   -0.0300 -5.0100 1.7200 12/1/2017 2.4500 2.3400 2.8100 0.0050   1.9500 1.8400 2.3100 1/1/2018 11.8100 40.8100 0.9800 0.0050   11.3100 40.3100 0.4800 2/1/2018 -5.5700 7.8000 5.6200 0.0050   -6.0700 7.3000 5.1200 3/1/2018 -6.6000 1.3600 -3.8900 0.0050   -7.1000 0.8600 -4.3900 4/1/2018 -1.4000 5.7900 -2.6900 0.0050   -1.9000 5.2900 -3.1900 5/1/2018 6.6500 12.5300 0.2700 0.0050   6.1500 12.0300 -0.2300 6/1/2018 2.8300 11.3300 2.1600 0.0050   2.3300 10.8300 1.6600 7/1/2018 9.1100 -13.7900 0.4800 0.0050   8.6100 -14.2900 -0.0200 8/1/2018 0.0800 8.9600 3.6000 0.0050   -0.4200 8.4600 3.1000 9/1/2018 -2.0300 1.7500 3.0300 0.0050   -2.5300 1.2500 2.5300 10/1/2018 -9.7800 -19.3400 0.4300 0.0050   -10.2800 -19.8400 -0.0700 11/1/2018 1.6400 -5.1900 -6.9400 0.0050   1.1400 -5.6900 -7.4400 12/1/2018 -5.3700 -6.4600 1.7900 0.0050   -5.8700 -6.9600 1.2900 1/1/2019 7.8000 26.8400 -9.1800 0.0050   7.3000 26.3400 -9.6800 2/1/2019 0.3200 5.4800 7.8700 0.0050   -0.1800 4.9800 7.3700 3/1/2019 4.7700 -0.4300 2.9700 0.0050   4.2700 -0.9300 2.4700 4/1/2019 1.2900 3.9200 1.7900 0.0050   0.7900 3.4200 1.2900 5/1/2019 -7.1400 -7.3600 3.9300 0.0050   -7.6400 -7.8600 3.4300 6/1/2019 -2.0600 7.0000 -6.5800 0.0050   -2.5600 6.5000 -7.0800 7/1/2019 12.5600 -12.0700 6.8900 0.0050   12.0600 -12.5700 6.3900 8/1/2019 -2.3500 -9.0500 1.3100 0.0050   -2.8500 -9.5500 0.8100 9/1/2019 2.6000 -8.9000 -1.8100 0.0050   2.1000 -9.4000 -2.3100 10/1/2019 3.3700 7.3900 1.7200 0.0050   2.8700 6.8900 1.2200 11/1/2019 3.5600 9.4800 2.0400 0.0050   3.0600 8.9800 1.5400 12/1/2019 2.4600 2.8300 3.4000 0.0050   1.9600 2.3300 2.9000 1/1/2020 7.2700 6.6500 2.8600 0.0050   6.7700 6.1500 2.3600         SECTION 3  Average Excess Return               Std. Deviation of Return               Beta               Covariance**

Sheet 5 Use Sheet 5 to complete the following Date GOOG Return NFLX Return Market Return Risk-Free Return   GOOG Excess Return* NFLX Excess Return* Market Excess Return* 3/1/2017 0.7700 4.0000 3.7200 0.0050   0.2700 3.5000 3.2200 4/1/2017 9.2100 2.9700 -0.0400 0.0050   8.7100 2.4700 -0.5400 5/1/2017 6.5000 7.1400 0.9100 0.0050   6.0000 6.6400 0.4100 6/1/2017 -5.8200 -8.3800 1.1600 0.0050   -6.3200 -8.8800 0.6600 7/1/2017 2.4000 21.5800 0.4800 0.0050   1.9000 21.0800 -0.0200 8/1/2017 0.9500 -3.8300 1.9300 0.0050   0.4500 -4.3300 1.4300 9/1/2017 2.1100 3.8000 0.0500 0.0050   1.6100 3.3000 -0.4500 10/1/2017 6.0000 8.3200 1.9300 0.0050   5.5000 7.8200 1.4300 11/1/2017 0.4700 -4.5100 2.2200 0.0050   -0.0300 -5.0100 1.7200 12/1/2017 2.4500 2.3400 2.8100 0.0050   1.9500 1.8400 2.3100 1/1/2018 11.8100 40.8100 0.9800 0.0050   11.3100 40.3100 0.4800 2/1/2018 -5.5700 7.8000 5.6200 0.0050   -6.0700 7.3000 5.1200 3/1/2018 -6.6000 1.3600 -3.8900 0.0050   -7.1000 0.8600 -4.3900 4/1/2018 -1.4000 5.7900 -2.6900 0.0050   -1.9000 5.2900 -3.1900 5/1/2018 6.6500 12.5300 0.2700 0.0050   6.1500 12.0300 -0.2300 6/1/2018 2.8300 11.3300 2.1600 0.0050   2.3300 10.8300 1.6600 7/1/2018 9.1100 -13.7900 0.4800 0.0050   8.6100 -14.2900 -0.0200 8/1/2018 0.0800 8.9600 3.6000 0.0050   -0.4200 8.4600 3.1000 9/1/2018 -2.0300 1.7500 3.0300 0.0050   -2.5300 1.2500 2.5300 10/1/2018 -9.7800 -19.3400 0.4300 0.0050   -10.2800 -19.8400 -0.0700 11/1/2018 1.6400 -5.1900 -6.9400 0.0050   1.1400 -5.6900 -7.4400 12/1/2018 -5.3700 -6.4600 1.7900 0.0050   -5.8700 -6.9600 1.2900 1/1/2019 7.8000 26.8400 -9.1800 0.0050   7.3000 26.3400 -9.6800 2/1/2019 0.3200 5.4800 7.8700 0.0050   -0.1800 4.9800 7.3700 3/1/2019 4.7700 -0.4300 2.9700 0.0050   4.2700 -0.9300 2.4700 4/1/2019 1.2900 3.9200 1.7900 0.0050   0.7900 3.4200 1.2900 5/1/2019 -7.1400 -7.3600 3.9300 0.0050   -7.6400 -7.8600 3.4300 6/1/2019 -2.0600 7.0000 -6.5800 0.0050   -2.5600 6.5000 -7.0800 7/1/2019 12.5600 -12.0700 6.8900 0.0050   12.0600 -12.5700 6.3900 8/1/2019 -2.3500 -9.0500 1.3100 0.0050   -2.8500 -9.5500 0.8100 9/1/2019 2.6000 -8.9000 -1.8100 0.0050   2.1000 -9.4000 -2.3100 10/1/2019 3.3700 7.3900 1.7200 0.0050   2.8700 6.8900 1.2200 11/1/2019 3.5600 9.4800 2.0400 0.0050   3.0600 8.9800 1.5400 12/1/2019 2.4600 2.8300 3.4000 0.0050   1.9600 2.3300 2.9000 1/1/2020 7.2700 6.6500 2.8600 0.0050   6.7700 6.1500 2.3600         SECTION 3  Average Excess Return               Std. Deviation of Return               Beta               Covariance**

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Sheet 5

Use Sheet 5 to complete the following

Date GOOG Return NFLX Return Market Return Risk-Free Return   GOOG Excess Return* NFLX Excess Return* Market Excess Return*
3/1/2017 0.7700 4.0000 3.7200 0.0050   0.2700 3.5000 3.2200
4/1/2017 9.2100 2.9700 -0.0400 0.0050   8.7100 2.4700 -0.5400
5/1/2017 6.5000 7.1400 0.9100 0.0050   6.0000 6.6400 0.4100
6/1/2017 -5.8200 -8.3800 1.1600 0.0050   -6.3200 -8.8800 0.6600
7/1/2017 2.4000 21.5800 0.4800 0.0050   1.9000 21.0800 -0.0200
8/1/2017 0.9500 -3.8300 1.9300 0.0050   0.4500 -4.3300 1.4300
9/1/2017 2.1100 3.8000 0.0500 0.0050   1.6100 3.3000 -0.4500
10/1/2017 6.0000 8.3200 1.9300 0.0050   5.5000 7.8200 1.4300
11/1/2017 0.4700 -4.5100 2.2200 0.0050   -0.0300 -5.0100 1.7200
12/1/2017 2.4500 2.3400 2.8100 0.0050   1.9500 1.8400 2.3100
1/1/2018 11.8100 40.8100 0.9800 0.0050   11.3100 40.3100 0.4800
2/1/2018 -5.5700 7.8000 5.6200 0.0050   -6.0700 7.3000 5.1200
3/1/2018 -6.6000 1.3600 -3.8900 0.0050   -7.1000 0.8600 -4.3900
4/1/2018 -1.4000 5.7900 -2.6900 0.0050   -1.9000 5.2900 -3.1900
5/1/2018 6.6500 12.5300 0.2700 0.0050   6.1500 12.0300 -0.2300
6/1/2018 2.8300 11.3300 2.1600 0.0050   2.3300 10.8300 1.6600
7/1/2018 9.1100 -13.7900 0.4800 0.0050   8.6100 -14.2900 -0.0200
8/1/2018 0.0800 8.9600 3.6000 0.0050   -0.4200 8.4600 3.1000
9/1/2018 -2.0300 1.7500 3.0300 0.0050   -2.5300 1.2500 2.5300
10/1/2018 -9.7800 -19.3400 0.4300 0.0050   -10.2800 -19.8400 -0.0700
11/1/2018 1.6400 -5.1900 -6.9400 0.0050   1.1400 -5.6900 -7.4400
12/1/2018 -5.3700 -6.4600 1.7900 0.0050   -5.8700 -6.9600 1.2900
1/1/2019 7.8000 26.8400 -9.1800 0.0050   7.3000 26.3400 -9.6800
2/1/2019 0.3200 5.4800 7.8700 0.0050   -0.1800 4.9800 7.3700
3/1/2019 4.7700 -0.4300 2.9700 0.0050   4.2700 -0.9300 2.4700
4/1/2019 1.2900 3.9200 1.7900 0.0050   0.7900 3.4200 1.2900
5/1/2019 -7.1400 -7.3600 3.9300 0.0050   -7.6400 -7.8600 3.4300
6/1/2019 -2.0600 7.0000 -6.5800 0.0050   -2.5600 6.5000 -7.0800
7/1/2019 12.5600 -12.0700 6.8900 0.0050   12.0600 -12.5700 6.3900
8/1/2019 -2.3500 -9.0500 1.3100 0.0050   -2.8500 -9.5500 0.8100
9/1/2019 2.6000 -8.9000 -1.8100 0.0050   2.1000 -9.4000 -2.3100
10/1/2019 3.3700 7.3900 1.7200 0.0050   2.8700 6.8900 1.2200
11/1/2019 3.5600 9.4800 2.0400 0.0050   3.0600 8.9800 1.5400
12/1/2019 2.4600 2.8300 3.4000 0.0050   1.9600 2.3300 2.9000
1/1/2020 7.2700 6.6500 2.8600 0.0050   6.7700 6.1500 2.3600
        SECTION 3  Average Excess Return      
        Std. Deviation of Return      
        Beta      
        Covariance**      

 

Portfolio Weight on GOOG NFLX Return Portfolio Beta Standard Defensive/Aggressive 0.1 0.9 0.2 0.8 0.3 0.7 0.4 0.6 0.5 0.5 0.6 0.4 0.7 0.3 0.8 0.2 0.9 0.1 1
Transcribed Image Text:Portfolio Weight on GOOG NFLX Return Portfolio Beta Standard Defensive/Aggressive 0.1 0.9 0.2 0.8 0.3 0.7 0.4 0.6 0.5 0.5 0.6 0.4 0.7 0.3 0.8 0.2 0.9 0.1 1
Draw a Characteristic Line*** for GOOG Draw a Characteristic Line*** for NFLX Notes: * Excess return is the return that is earned over and above the risk free return ** Covariance measures the combined risk of holding two stocks at the same time. It is computed by using the Covariance function in Excel *** A characteristic line is the line of best fit which describes the scatter plot when a stock's excess return is measure on the X-Axis (Dependent variable) and the market's excess return is measured on the Y-Axis (Independent variable). You can refer to a quick demonstration here: https://www.youtube.com/watch?v=HX06ANAGWYQ **** For computing the standard deviation of the portfolio, the following formula should be used: w?o,² + w?o} + 2w, w,Cov %3D In the formula above, the left hand side of the equation signifies standard deviation of the portfolio. The greek letter sigma is the general significator of standard deviation. W, is the weight placed on the first stock in the portfolio. W, is the weight placed on the second stock in the portfolio. Cov12 is the covariance between the first and second stock
Transcribed Image Text:Draw a Characteristic Line*** for GOOG Draw a Characteristic Line*** for NFLX Notes: * Excess return is the return that is earned over and above the risk free return ** Covariance measures the combined risk of holding two stocks at the same time. It is computed by using the Covariance function in Excel *** A characteristic line is the line of best fit which describes the scatter plot when a stock's excess return is measure on the X-Axis (Dependent variable) and the market's excess return is measured on the Y-Axis (Independent variable). You can refer to a quick demonstration here: https://www.youtube.com/watch?v=HX06ANAGWYQ **** For computing the standard deviation of the portfolio, the following formula should be used: w?o,² + w?o} + 2w, w,Cov %3D In the formula above, the left hand side of the equation signifies standard deviation of the portfolio. The greek letter sigma is the general significator of standard deviation. W, is the weight placed on the first stock in the portfolio. W, is the weight placed on the second stock in the portfolio. Cov12 is the covariance between the first and second stock
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