year The Z-statistic at the 5% confidence level is 1.6449 The Z-statistic at the
ID: 3020111 • Letter: Y
Question
year
The Z-statistic at the 5% confidence level is 1.6449
The Z-statistic at the 10% confidence level is 1.2816
The Z-statistic at the 1% confidence level is 2.3263
What is the maximum expected loss for stock Tippy stock at the 5% confidence level using beta?
What is the maximum dollar loss if you invest $4,000,000 in Tippy stock using beta?
What are the Sharpe and Treynor index for Sibbit stock? Assume that T-bill rate is 0.05%
year
Tippy Stock Sibbit Stock S&P 500 2007 -10.8% 3.85% -2.87% 2008 -3.5% -7.25% 3.39% 2009 4.9% 4.33% 1.45% 2010 2.9% 8.21% 4.56% 2011 -3.8% -2.55% -2.38%Explanation / Answer
A. Maximum expected loss for stock Tippy stock at the 5% confidence level = 1.6449 x 0.103 = 0.1777 = 17.7%
B. Maximum dollar loss if you invest $4,000,000 in Tippy stock = $4,000,000 x (2.3263x0.103) = $958435.60
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