Compute a series of 20 year rolling average returns

Reference no: EM133425733

Question: You are reviewing 500 years of annual equity index returns and conclude that the data is normally distributed. You notice that a 50% annual return lies 2 standard deviations above the mean and a -4.75% annual return lies 1.65 standard deviations below the mean.

a. What is the standard deviation of this distribution?

b. Rather than use annual returns in your research you compute a series of 20 year rolling average returns. What do you estimate the standard deviation of that series to be.

Reference no: EM133425733

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