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  • Week 2 Exercise Due Date: Submission Method:: Nama Kelompok

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    Nurul Diantika
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    1. The document contains a weekly exercise submission from a group of 3 students (Muhammad Rizki Ravin Rizal, Nurul Diantika, and Patricia) from the F 202 class of the S2 MAKSI program at Universitas Indonesia. 2. The exercise contains 4 questions analyzing return, risk, and performance of various ETFs and companies using metrics like arithmetic mean, standard deviation, Sharpe Ratio, and correlation. 3. For question 4, Apple had the higher average return of 66% compared to Google's 20%, but was riskier with a standard deviation of 89% versus 60.5% for Google. Apple also had the higher Sharpe Ratio of 0

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    1. The document contains a weekly exercise submission from a group of 3 students (Muhammad Rizki Ravin Rizal, Nurul Diantika, and Patricia) from the F 202 class of the S2 MAKSI program at Universitas Indonesia. 2. The exercise contains 4 questions analyzing return, risk, and performance of various ETFs and companies using metrics like arithmetic mean, standard deviation, Sharpe Ratio, and correlation. 3. For question 4, Apple had the higher average return of 66% compared to Google's 20%, but was riskier with a standard deviation of 89% versus 60.5% for Google. Apple also had the higher Sharpe Ratio of 0

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    347 views4 pages

    Week 2 Exercise Due Date: Submission Method:: Nama Kelompok

    Uploaded by

    Nurul Diantika
    1. The document contains a weekly exercise submission from a group of 3 students (Muhammad Rizki Ravin Rizal, Nurul Diantika, and Patricia) from the F 202 class of the S2 MAKSI program at Universitas Indonesia. 2. The exercise contains 4 questions analyzing return, risk, and performance of various ETFs and companies using metrics like arithmetic mean, standard deviation, Sharpe Ratio, and correlation. 3. For question 4, Apple had the higher average return of 66% compared to Google's 20%, but was riskier with a standard deviation of 89% versus 60.5% for Google. Apple also had the higher Sharpe Ratio of 0

    Copyright:

    © All Rights Reserved
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    Download as docx, pdf, or txt
    of 4

    Week 2 Exercise

    Due date:
    Submission method:
    Nama Kelompok:
    1. Muhammad Rizki Ravin Rizal (2006619942)
    2. Nurul Diantika (2006620004)
    3. Patricia ((2006620042)
    Kelas: F 202
    Jurusan
    : S2 - MAKSI Universitas Indonesia

    Question 1

    The following is return data for a retail sector ETF and energy sector ETF for the years, Year 1
    to Year 5.

    Year Retail Sector ETF Energy Sector ETF


    1 –0.27 0.45
    2 –0.31 –0.44
    3 0.72 0.33
    4 0.29 0.13
    5 0.1 –0.03

    a) What is the arithmetic mean return for each ETF?


    Retail Energy
      Sector ETF Sector ETF
    Ar Mean 0,106 0,088

    b) What is the geometric mean return for each ETF?


    Retail Energy
      Sector ETF Sector ETF
    Geo Mean 4,22% 3,43%

    c) What is the sample standard deviation for each ETF? Which ETF was riskier over this time
    period?
    Retail Sector Energy Sector
      ETF ETF
    Sample S. Dev 42,6% 34,8%

    Sektor retail lebih beresiko dikarenakan standard deviation-nya lebih tinggi dibanding sektor
    energi. Namun, standar deviasi yg lebih rendah belum tentu disukai, karena itu semua
    tergantung pada investasi & kemauan investor untuk menanggung risiko tsb.
    d) Given a risk-free rate of 5%, what is the Sharpe Ratio for each ETF? Which investment had a
    better return per unit of risk over this time period?
    Retail Sector Energy Sector
      ETF ETF
    Sharpe Ratio 0,13 0,11

    Semakin tinggi sharpe ratio, semakin baik pula investasi yg dapat mengkompensasi
    investornya atas risiko tsb (kinerjanya lebih baik dibanding risikonya). Pada case ini dapat
    disimpulkan bahwa sektor retail memiliki rate of return yang lebih tinggi dibandingkan
    sektor energi. Sektor retail lebih banyak memberikan return per unit of risk dibanding sektor
    energi.

    Question 2

    The mean starting salary of recent business graduates at a university is $52,000 with a standard
    deviation of $16,000. The distribution of starting salaries is unknown.
    a) What proportion of business graduates has a starting salary between $20,000 and $84,000?
    b) Suppose 600 business graduates from this university got hired. How many of them started
    with a salary between $20,000 and $84,000?

    a. $20,000 dan $84,000 adalah dua standard deviasi di bawah dan di atas mean.
    $20,000 = 52,000-(2*16,000)
    $84,000 = 52,000+(2*16,000)
    K=2, maka 1-1/22 = 75% proporsi lulusan bisnis yg memiliki gaji awal diantara $20,000 & $84,000

    b. 600*75% = 450 orang, yg memiliki gaji awal diantara $20,000 & $84,000

    Question 3

    The following data represent the number of unique visitors and the revenue a website generated
    for the months of July through December.

      Unique Visitors Revenue


    July 26 2.2
    August 18 3.4
    September 14 6.2
    October 22 8.6
    November 55 5.6
    December 75 5.8

    a) What is the sample standard deviation for the number of unique visitors and the revenue?
    b) Calculate the coefficient of variations. Which variable has a higher relative dispersion?
    c) Calculate the sample correlation coefficient between the number of unique visitors and
    Revenue.
    d) Comment on the strength of the linear relationship. What does this mean for the owner of the
    website?
      Unique Visitors Revenue
    Arithmetic Mean 35 5,3
    Standar Deviasi 24,41311123 2,247665
    Coefficient of Variations 0,697517464 0,424088
    Sample Correlation Coefficient 0,088933426

    a. Standard Deviation
    - Unique visitors = stdev.s(data) = 24,41
    - Revenue = stdev.s(data) = 2,25

    b. Mean
    - Unique visitors = average(data) = 35
    - Revenue = average(data) = 5,3

    Coefficient of Variation
    - Unique visitors = Standard deviation/Mean = 24,41/35 = 0,698
    - Revenue = Standard deviation/Mean = 2,25/5,3 = 0,424

    c. Correlation = correl(<visitor data>;<revenue data>) = 0,089

    d. Correlation coefficient sebesar 0,089 (r < 1) menunjukkan bahwa unique visitors tidak
    berhubungan secara linear dengan revenue, atau jikalaupun ada hubungan secara linear
    maka hubungan positif linearnya tersebut lemah. Yang berarti unique visitors bukan
    penggerak utama dari revenue. Ini dapat ditunjukkan pada gambar dibawah ini.

    Positive Linear Relationship


    10
    9
    8
    7
    6
    Revenue

    5
    4
    3
    2
    1
    0
    10 20 30 40 50 60 70 80
    Unique Visitors

    Question 4
    The following gives summary measures for Google and Apple for Year 1–5.

    = 66% = 20%

      = 89% = 60.5%

    a) Which fund had the higher arithmetic average return?


    b) Which fund was riskier over this time period?
    c) Given a risk-free rate of 1%, which fund has the higher Sharpe ratio? What does this imply?

      Apple Google
    Aritmetic Mean 66% 20%
    Standard Deviation 89% 60,50%
    Sharpe Ratio 73% 31%

    a. Apple, di mana arithmetic average return apple sebesar 66% sedangkan google 20%.
    b. Apple, karena standard deviation apple lebih tinggi dibandingkan google.
    c. Sharpe Ratio:
    - Apple = (Ar Mean-Rf)/S = (66-1)/89 = 0,73
    - Google = (Ar Mean-Rf)/S = (20-1)/60,5 = 0,31

    Semakin tinggi sharpe ratio, semakin baik pula investasi yg dapat mengkompensasi
    investornya atas risiko tsb (kinerjanya lebih baik dibanding risikonya). Pada case ini
    dapat disimpulkan bahwa Apple memiliki rate of return yang lebih tinggi dibandingkan
    Google. Apple lebih banyak memberikan return per unit of risk dibanding Google.

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