Question 52 (1 mark)
The
following table shows a sample of returns on two securities.
|
Day |
Security
A |
Security
B |
|
|
|
|
|
1 |
2.05% |
-0.08% |
|
|
|
|
|
2 |
1.13% |
2.23% |
|
|
|
|
|
3 |
0.28% |
0.45% |
|
|
|
|
|
4 |
-0.15% |
-3.13% |
|
|
|
|
|
5 |
2.75% |
0.38% |
|
|
|
|
The
Spearman rank correlation is:
A 1.0000
B 0.2000
C 0.7300
D 0.0000
Question 53 (1 mark)
Consider the following variance–covariance matrix of annual returns
between three funds – Fund 1, Fund 2 and Fund 3.
|
1.1617 |
0.8309 |
−0.0021 |
|
|
|
|
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Hint
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