Market Index Big/Growth BigNalue Small/Growth Smallalue A. 1926-2016 Mean excess return (annualized) Standard deviation (annualzed) Sharpe ratio Lower partial SD (annualzed) 08 30 18.64 045 19.49 11.67 24.62 0.47 2278 8.79 2621 1556 18.50 055 25.98 1857 -0.10 19.05 -19.53 -15.63 0.70 783 -20.59 2221 -13.95 -11.87 -14.68 VaR (1 %) actual (monthly) returns VaR( 1 %) normal distribution %Of monthly returns more than 3 -11.80 17.87 0 94% 0.75% SD below mean Expected shortfall (monthly B. 1952-2016 Mean excess return (annualized) Standard deviation (annualzed) Sharpe ratio Lower parsal SD (annualzed) -20.14 7.52 14.89 0.50 1651 -0.52 5.54 0.46 15.67 -0.36 15.95 062 16.01 -0.29 2 26 -1194 989 705 22.33 0.32 1842 0.72 2.17 348 -10.90 -9.84 -10.80 VaR ( 1 %) actual (monthly returns VaR(1 %) normal distribution %Of monthly returns more than 3 -9.37 14.41 -11.26 0 66% 0.66% 080% 1.19% SD below mean Expected shortfall (monthly -18.85 -21.30 -24.66 Table 54 Statistics for monthly excess returns on the market index and four “style” portfolios Source_Authors’ caladations using data from Prot Kenneth French’s web site ttadimbaaudaartmouthad’pagestacuhymhenN Table 5 Average Annual Rates Standard Devlation Statisties for T.bill ratos inflation rates, and real rates, 1926-2015 T-BilsInflation Real TB T-Bl Inflation Real TB 0.56 381 All months First haf Recent haf 445 1.04 168 5.95 0.90 Sources: Annual rotes of retun trom rolingover month T-bills: Kenneth French annual Inflctlon rotes Bureau of Labor Statstics Suppose that the inflation rate is expected to be 3% in the near future using the historical data provided in labes2 and lable 54 what would be your predictions for the following? (Round your onswers to 2 decimal places) a. The T-bill rate? b. The expected rate of return on the BigValue portfolio? c. The risk premium on the stock market?
Delivering a high-quality product at a reasonable price is not enough anymore.
That’s why we have developed 5 beneficial guarantees that will make your experience with our service enjoyable, easy, and safe.
You have to be 100% sure of the quality of your product to give a money-back guarantee. This describes us perfectly. Make sure that this guarantee is totally transparent.
Read moreEach paper is composed from scratch, according to your instructions. It is then checked by our plagiarism-detection software. There is no gap where plagiarism could squeeze in.
Read moreThanks to our free revisions, there is no way for you to be unsatisfied. We will work on your paper until you are completely happy with the result.
Read moreYour email is safe, as we store it according to international data protection rules. Your bank details are secure, as we use only reliable payment systems.
Read moreBy sending us your money, you buy the service we provide. Check out our terms and conditions if you prefer business talks to be laid out in official language.
Read more