R(S&P 500) AMZN Average 2.59% 4.36% Variance 0.00085 0.00660 St. Dev. 5.32% 8.13% Intercept 0.0302 Beta 1 1.6811 Var (ei) 0.0042 St. Dev. (ei) 6.48% Rf 0.40% 10. Based on the data in the tables above, what is the Jehnsen Alpha for AMZN? A. 0.92% B. 0.28% C. 0.18% D. -0.74% 11. Based on the data in the tables above, what is M² for AMZN (Sharpe Ratio for S&P 500 is 0.41165)? A. 3.02% B. 3.08% C. 0.825% D. 0.401% 12. Based on the data in the tables above, what is the Potential Sharpe Ratio for AMZN if it is added to a current investor's holding of an SPY index fund? Sharpe Ratio for S&P 500 is 0.41165, SPY is proxy for S&P 500. A. 0.2592 B. 0.3659 C. 0.6218 D. 0.7549
R(S&P 500) AMZN Average 2.59% 4.36% Variance 0.00085 0.00660 St. Dev. 5.32% 8.13% Intercept 0.0302 Beta 1 1.6811 Var (ei) 0.0042 St. Dev. (ei) 6.48% Rf 0.40% 10. Based on the data in the tables above, what is the Jehnsen Alpha for AMZN? A. 0.92% B. 0.28% C. 0.18% D. -0.74% 11. Based on the data in the tables above, what is M² for AMZN (Sharpe Ratio for S&P 500 is 0.41165)? A. 3.02% B. 3.08% C. 0.825% D. 0.401% 12. Based on the data in the tables above, what is the Potential Sharpe Ratio for AMZN if it is added to a current investor's holding of an SPY index fund? Sharpe Ratio for S&P 500 is 0.41165, SPY is proxy for S&P 500. A. 0.2592 B. 0.3659 C. 0.6218 D. 0.7549
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
Related questions
Question
Transcribed Image Text:R(S&P 500)
AMZN
Average
2.59%
4.36%
Variance
0.00085
0.00660
St. Dev.
5.32%
8.13%
Intercept
0.0302
Beta
1
1.6811
Var (ei)
0.0042
St. Dev. (ei)
6.48%
Rf
0.40%
10. Based on the data in the tables above, what is the Jehnsen Alpha for AMZN?
A. 0.92%
B. 0.28%
C. 0.18%
D. -0.74%
11. Based on the data in the tables above, what is M² for AMZN (Sharpe Ratio for S&P 500 is 0.41165)?
A. 3.02%
B. 3.08%
C. 0.825%
D. 0.401%
12. Based on the data in the tables above, what is the Potential Sharpe Ratio for AMZN if it is added to a
current investor's holding of an SPY index fund? Sharpe Ratio for S&P 500 is 0.41165, SPY is
proxy for S&P 500.
A. 0.2592
B. 0.3659
C. 0.6218
D. 0.7549
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