Question

The returns for the DJIA stock market index during the first 6 months of year T (January to June) are as follows: -3.6; 3.2; 6.13;1.48;-8.09; and -6.24 Likewise, the returns for the Barclays Bond index during the same period are as follows: 1.48; 0.50; -0.95; 1.15; 1.81; and 1.56 What is the covariance of returns for these two indices during the first half of year T?

-5.36

-5.13

-5.06

-6.36

Answer 1

Correct answer: -5.13

Please refer to below spreadsheet for calculation and answer. Cell reference also provided.

Cell reference -