Part I. 2. From an expected indemnity prospective, the bond market ETF (AGG) performs disclose, averaging 0.43% periodic return during the period of January 2004 with September 2011. Standard deviation, which is considered a measure of risk, is also flyspeck for the bond market ETF: 0.0123 versus 0.0464 for the pedigree Market ETF. From the risk-adjusted performance spot which is determined by a Sharpe ratio, bond market ETF performs better with a Sharpe ratio of 0.21103 versus 0.02859 for the lead market ETF. Part II. The retrogression estimates calculated using jump out formulas and by running regressions for individually ETF bring same results. For apiece ETFs Alpha is relatively small and is less(prenominal) than 10% which indicates that these values atomic number 18 statistically polarityifi send packingt. spots and SSOs beta is more than 10% which indicates that beta is statistically undistinguished for these stocks. P-values of alpha in SPY and SSO ETFs be greater than 5%, meaning that they are statistically insignificant. P-values of beta are less than 5% for each ETF which indicates that they are statistically significant. Since the values of alphas are negative for each ETFS we can conclude that the stock ill-treat and its return has fallen everyplace the period analyzed. |Â |SPY |SSO |SH |SDS | | interfere (Alpha) |-0.00004 |-0.00184 |-0.00677 |-0.01455 | |Slope (Beta) |0.99591 |2.03003 |-0.94166 |-1.
76053 | |R-Squared (R2) |0.99863 |0.99364 |0.97674 |0.94861 | |Table 4 |SPY |SSO |SH |SDS | |Tar sign on six-fold TM |1 |2 |-1 |-2 | |Alpha |-0.00004 |-0.00184 |-0.00677...If you hope to get a bounteous essay, order it on our website:
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