VBN is a microcap stock included in the Wilshire 5000 index. The following lists the actual returns on VBN and the Wilshire 5000 index for 6 recent years.
|
Year
|
VBN
|
Wilshire
|
|
20X1
|
-18.0%
|
13.0%
|
|
20X2
|
-10.0%
|
-8.0%
|
|
20X3
|
15.0%
|
1.0%
|
|
20X4
|
60.0%
|
32.0%
|
|
20X5
|
15.0%
|
27.0%
|
|
20X6
|
28.0%
|
13.0%
|
i) Calculate the covariance between the returns on VBN and the Wilshire 5000 index.
ii) Does VBN's returns move with or against the returns on the Wilshire 5000?
iii) Is VBN highly, moderately, or barely sensitive to fluctuations in the Wilshire 5000?