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Q11 - QP11-7 RECESSION NORMAL BOOM A 0.25 0.4 0.35 0.06...

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QP11-7 A B RECESSIO 0.25 0.06 -0.04 0.02 -0.01 NORMAL 0.4 0.07 0.1 0.03 0.04 BOOM 0.35 0.13 0.29 0.05 0.1 8.85% 13.15% 0 0.03 0 0 0 0.03 0 0.01 0 0 0 0.01 a ^2 0.09% 1.65% a 3.07% 12.86% QP11-30 ER 0.12 SLOPE 0.56 SD 0.16 RISK 0.03 ERP 6.94% SD1 0.07 SD 30.22% SD2 0.2 QP11-11 BETA 0.6 1 0.33 0.2 2.4 QP11-3 X Y Z PROTFOLI 0.34 0.14 0.52 ER 0.16 0.16 0.1 0.05 0.02 0.05 12.88% QP11-28 A B 0.14 0.00% ER 0.12 0.15 0.00% SD 0.5 0.6 0.16 0.36 PORTFOLI 0.4 0.6 0.16 0.36 CORRELAT 0.5 0.5 0.03 0.13 0 PORTFOLI 0.4 0.6 0.16 COEFFICIE -0.5 -0.5 ER 0.05 0.09 13.80% ER 0.05 0.09 13.80% QP11-22 PRO A B C ER 14.40% BOOM 0.4 0.2 0.32 0.65 33.80% 0.14 0.04 NORMAL 0.4 0.15 0.12 0.1 12.80% 0.05 0 ( «l ¶ * decrease a
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BUST 0.2 0.01 -0.29 -0.5 -21.20% -0.04 0.13 PORTIFOLI 0.4 0.4 0.2 T-BILL 0.04 10.90% SD RR 0.04 1.04 10.90% 114.40% 10.53% 110.90% 7.40% 7.15% QP11-26 PRO J K BEAR 0.24 -0.03 0.05 -0.01 0.01 NORMAL 0.6 0.09 0.06 0.05 0.04 BULL 0.17 0.15 0.08 0.02 0.01 ER 7.29% 6.03% 0 0.01 0 0 0 0 0 0 0 0.01 0 0 VA 0 0 SD 6.03% A B 0.80% 0 0 0 0.000398 COV ### 0.8285 CORR QP11-25 A B 0.33 BEAR 0.07 -0.04 0.33 0.02 -0.01 NORMAL 0.1 0.06 0.33 0.03 0.02 BULL 0.15 0.24 0.33 0.05 0.08 10.47% 8.67% 0 0 0.02 0.01 10.47% 8.67% 0 0 0 0 10.47% 8.67% 0 0 0.02 0.01 10.47% 8.67% 0.00102 0.01366 3.19% 11.69% -3.77% -12.47% 0 -0.27% -3.17% 0 4.03% 15.63% 0 COV 0.003695 CORRELA 0.9911 QP11-9 PRO A B C A B C BOOM 0.2 0.25 0.35 0.3 0.2 0.6 0.2
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GOOD 0.25 0.14 0.12 0.19 0.2 0.6 0.2 POOR 0.15 0.02 -0.19 -0.04 0.2 0.6 0.2 BUST 0.4 -0.05 -0.31 -0.09 0.2 0.6 0.2 PROTFOLIO 0.05 0.21 0.06 32.00% 0.06 0.03 0.07 0.04 13.80% 0.03 0 -0.11 -0.01 -11.80% -0.02 -0.01 -0.19 -0.02 -21.40% -0.09 -0.48% 0.02 10.55% -0.48% 0.01 2.04% -0.48% 0 1.28% -0.48% 0.02 4.38% -0.48% VARIA 0.0456 SD 21.36% QP11-20 AVERAGE LARGE 0.12 SMALL 0.17 LONG COR 0.07 LONG GOV 0.06 INTER 0.06 U S 0.03 9.15% 9.85% QP11-27 F G 17.00% ER 0.1 0.2 SD 0.34 0.5 W 0.3 0.7 CORRELAT 0.12 0.12 0.09 0.49 0.01 0.12 0.25 0.13 VARIANCE 0.14 SD 37.61% QP11-29 OR SD CORRE BETA A 8% 0.33 0.73
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