From an expected return prospective, the bond market ETF (AGG) performs better, averaging 0.43% monthly return during the period of January 2004 through September 2011.
Standard deviation, which is considered a measure of risk, is also little for the bond market ETF: 0.0123 versus 0.0464 for the fund Market ETF.
From the risk-adjusted performance perspective which is determined by a Sharpe ratio, bond market ETF performs better with a Sharpe ratio of 0.21103 versus 0.02859 for the impart market ETF.
Part II.
The regression estimates calculated using excel formulas and by running regressions for each ETF bring same results. For each ETFs Alpha is relatively small and is less than 10% which indicates that these values are statistically significant. SPYs and SSOs beta is more than 10% which indicates that beta is statistically peanut for these stocks. P-values of alpha in SPY and SSO ETFs are greater than 5%, meaning that they are statistically insignificant. P-values of beta are less than 5% for each ETF which indicates that they are statistically significant.
Since the values of alphas are negative for each ETFS we can conclude that the stock damage and its return has fallen over the period analyzed.
|Â |SPY |SSO |SH |SDS |
| mediate (Alpha) |-0.00004 |-0.00184 |-0.00677 |-0.01455 |
|Slope (Beta) |0.99591 |2.03003 |-0.94166 |-1.
76053 |
|R-Squared (R2) |0.99863 |0.99364 |0.97674 |0.94861 |
|Table 4 |SPY |SSO |SH |SDS |
|Tar sign on six-fold TM |1 |2 |-1 |-2 |
|Alpha |-0.00004 |-0.00184 |-0.00677...If you want to get a full essay, order it on our website: Orderessay
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