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