标题: Reading 7: Statistical Concepts and Market Returns-LOS i, (P [打印本页]
作者: bmaggie 时间: 2010-4-9 15:03 标题: [2010]Session 2:-Reading 7: Statistical Concepts and Market Returns-LOS i, (P
Session 2: Quantitative Methods: Basic Concepts
Reading 7: Statistical Concepts and Market Returns
LOS i, (Part 1): Define, calculate, and interpret the coefficient of variation.
Given a population of 200, 100, and 300, the coefficient of variation is closest to:
作者: bmaggie 时间: 2010-4-9 15:03
Given a population of 200, 100, and 300, the coefficient of variation is closest to:
CV = (σ/mean)
mean = (200 + 100 + 300)/3 = 200
σ = √[(200 - 200)2 + (100 - 200)2 + (300 - 200)2 / 3] = √6666.67 = 81.65
(81.65/200) = 40.82%
作者: bmaggie 时间: 2010-4-9 15:03
The mean monthly return on (U.S. Treasury bills) T-bills is 0.42% with a standard deviation of 0.25%. What is the coefficient of variation?
作者: bmaggie 时间: 2010-4-9 15:04
The mean monthly return on (U.S. Treasury bills) T-bills is 0.42% with a standard deviation of 0.25%. What is the coefficient of variation?
The coefficient of variation expresses how much dispersion exists relative to the mean of a distribution and is found by CV = s / mean, or 0.25 / 0.42 = 0.595, or 60%.
作者: bmaggie 时间: 2010-4-9 15:04
An investor is considering two investments. Stock A has a mean annual return of 16% and a standard deviation of 14%. Stock B has a mean annual return of 20% and a standard deviation of 30%. Calculate the coefficient of variation (CV) of each stock and determine if Stock A has less dispersion or more dispersion relative to B. Stock A's CV is:
A) |
0.875, and thus has less dispersion relative to the mean than Stock B. | |
B) |
1.14, and thus has more dispersion relative to the mean than Stock B. | |
C) |
1.14, and thus has less dispersion relative to the mean than Stock B. | |
作者: bmaggie 时间: 2010-4-9 15:04
An investor is considering two investments. Stock A has a mean annual return of 16% and a standard deviation of 14%. Stock B has a mean annual return of 20% and a standard deviation of 30%. Calculate the coefficient of variation (CV) of each stock and determine if Stock A has less dispersion or more dispersion relative to B. Stock A's CV is:
A) |
0.875, and thus has less dispersion relative to the mean than Stock B. | |
B) |
1.14, and thus has more dispersion relative to the mean than Stock B. | |
C) |
1.14, and thus has less dispersion relative to the mean than Stock B. | |
CV stock A = 0.14 / 0.16 = 0.875
CV stock B = 0.03 / 0.20 = 1.5
Stock A has less dispersion relative to the mean than Stock B.
作者: bmaggie 时间: 2010-4-9 15:04
The mean monthly return on a sample of small stocks is 4.56% with a standard deviation of 3.56%. What is the coefficient of variation?
作者: bmaggie 时间: 2010-4-9 15:05
The mean monthly return on a sample of small stocks is 4.56% with a standard deviation of 3.56%. What is the coefficient of variation?
The coefficient of variation expresses how much dispersion exists relative to the mean of a distribution and is found by CV = s / mean. 3.56 / 4.56 = 0.781, or 78%.
作者: bmaggie 时间: 2010-4-9 15:05
If stock X's expected return is 30% and its expected standard deviation is 5%, Stock X's expected coefficient of variation is:
作者: bmaggie 时间: 2010-4-9 15:05
If stock X's expected return is 30% and its expected standard deviation is 5%, Stock X's expected coefficient of variation is:
The coefficient of variation is the standard deviation divided by the mean: 5 / 30 = 0.167.
作者: bmaggie 时间: 2010-4-9 15:05
What is the coefficient of variation for a distribution with a mean of 10 and a variance of 4?
作者: bmaggie 时间: 2010-4-9 15:06
What is the coefficient of variation for a distribution with a mean of 10 and a variance of 4?
Coefficient of variation, CV = standard deviation / mean. The standard deviation is the square root of the variance, or 4? = 2. So, CV = 2 / 10 = 20%.
作者: bmaggie 时间: 2010-4-9 15:06
If the historical mean return on an investment is 2.0% and the standard deviation is 8.8%, what is the coefficient of variation (CV)?
作者: bmaggie 时间: 2010-4-9 15:06
If the historical mean return on an investment is 2.0% and the standard deviation is 8.8%, what is the coefficient of variation (CV)?
The CV = the standard deviation of returns / mean return or 8.8% / 2.0% = 4.4.
作者: zaestau 时间: 2010-4-26 18:22
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作者: kison 时间: 2010-8-24 21:12
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