Year <?xml:namespace prefix = o ns = \"urn:schemas-microsoft-com:office:office\"
ID: 2691979 • Letter: Y
Question
Year <?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /?>
GoopGip Stock
LoopLip Stock
S&P 500
2007
-12.8%
4.85%
-1.87%
2008
-4.5%
-8.25%
2.39%
2009
5.9%
3.33%
0.45%
2010
1.9%
7.21%
3.56%
2011
-4.8%
-1.55%
-1.38%
The Z-statistic at the 90% confidence level is 1.2816
The Z-statistic at the 95% confidence level is 1.6449
The Z-statistic at the 99% confidence level is 2.3263
1. What are the mean and standard deviation for S&P 500?
2. What is the maximum expected loss for GoopGip stock at the 99% confidence level using standard deviation?
3. What is the maximum expected loss for S&P at the 95% confidence level using standard deviation?
Year <?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /?>
GoopGip Stock
LoopLip Stock
S&P 500
2007
-12.8%
4.85%
-1.87%
2008
-4.5%
-8.25%
2.39%
2009
5.9%
3.33%
0.45%
2010
1.9%
7.21%
3.56%
2011
-4.8%
-1.55%
-1.38%
Explanation / Answer
Mean S&P = 0.63% Standard deviation =0.04401% Maximum expected loss = -2.68% - 0.409304% * 2.3263 = -3.812% Maximum expected loss=minimum expected return = 0.63% - 1.6449*0.04401% =0.557608%
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