Financial Risk Manager Part 1
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A risk manager gathers five years of historical returns to calculate the Kendall τ correlation coefficient for stocks X and Y. The stock returns for X and Y from 2010 to 2014 are as follows:
Year X Y 2010 5.0% -10.0% 2011 50.0% -5.0% 2012 -10.0% 20.0% 2013 -20.0% 40.0% 2014 30.0% 15.0%
What is the Kendall τ correlation coefficient for the stock returns of X and Y?
A risk manager gathers five years of historical returns to calculate the Kendall τ correlation coefficient for stocks X and Y. The stock returns for X and Y from 2010 to 2014 are as follows:
| Year | X | Y |
|---|---|---|
| 2010 | 5.0% | -10.0% |
| 2011 | 50.0% | -5.0% |
| 2012 | -10.0% | 20.0% |
| 2013 | -20.0% | 40.0% |
| 2014 | 30.0% | 15.0% |
What is the Kendall τ correlation coefficient for the stock returns of X and Y?
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