Gamble Question (+5 points if you’re right and -5 points if…
Gamble Question (+5 points if you’re right and -5 points if you’re wrong…risk and return!) ***You do not have to attempt this problem!*** You are given the following information regarding the excess returns of Goldman Sachs (GS) and the excess returns of the SP500 over the past 12 months. What was Goldman Sach’s beta over the period? Month GS SP500 GS-Rf SP500-Rf (GS-Rf)*(SP500-Rf) 1 8.30% 0.70% 4.80% -0.40% -0.0192% 2 -3.30% 0.30% -6.80% -0.80% 0.0544% 3 7.70% -2.00% 4.20% -3.10% -0.1302% 4 7.50% 2.40% 4.00% 1.30% 0.0520% 5 5.20% 2.00% 1.70% 0.90% 0.0153% 6 5.30% 1.30% 1.80% 0.20% 0.0036% 7 0.20% 4.00% -3.30% 2.90% -0.0957% 8 -16.50% -6.30% -20.00% -7.40% 1.4800% 9 -7.40% -0.70% -10.90% -1.80% 0.1962% 10 8.00% 3.10% 4.50% 2.00% 0.0900% 11 3.60% 4.10% 0.10% 3.00% 0.0030% 12 23.30% 4.40% 19.80% 3.30% 0.6534% E = 3.49% 1.11% Covariance = ____________________ Var = 0.00876 0.00086 Sd = 9.36% 2.93% Beta, β = ____________________ Corr (GS,SP500) = 0.699042