Consider two securities X and Y with the following 5 annual returns:

Consider two securities X and Y with the following 5 annual returns:

X: +10%, +3%, -2%, +3%, +5%

Y: +7%, -2%, +3%, -5%, +10%

In this case the sample covariance between the two time series can be calculated as:
A . 0.40729
B . 0.00109
C . 0.00087
D . 0.32583

View Answer

Answer: B