424_lab6 - Boeing Nordstrom Starbucks Microsoft Boeing...

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Expected Return mu sd Boeing 1.13% 8.05% Nordstrom 0.15% 10.55% Starbucks 2.85% 14.22% Microsoft 4.27% 10.06% Covariance Matrix Correlation Matrix Boeing Nordstrom Starbucks Microsoft Boeing Nordstrom Starbucks Microsoft Boeing 0.006 0.001 0.003 0.001 Boeing 1.000 0.103 0.304 0.086 Nordstrom 0.001 0.011 0.003 0.002 Nordstrom 0.103 1.000 0.176 0.174 Starbucks 0.003 0.003 0.020 0.001 Starbucks 0.304 0.176 1.000 0.079 Microsoft 0.001 0.002 0.001 0.010 Microsoft 0.086 0.174 0.079 1.000 Time Plots Pairs Plot From the data above, all stocks have positive relationship, however, seeing from the graph, the relationship is not very obvious. The largest correlation is between Starbucks and Boeing, which is 0.304. Four stocks have similar trend. Starbucks has the largest variance. It droped to the lowest point at the end of 1999. At then increased sharply in the beginning of 2000.
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Date Boeing Nordstrom Starbucks Microsoft CER Model Estimates Mar-95 0.15298607 -0.03615301 0.00521357 0.12130135 Univariate Statistics Apr-95 0.02299286 -0.05679679 -0.02105341 0.13923462 Boeing Nordstrom Starbucks Microsoft May-95 0.06808216 0.07820754 0.21244482 0.03529377 Average 1.13% 0.15% 2.85% 4.27% Jun-95 0.06174698 -0.00301627 0.20359678 0.06500543 Standard Deviation 8.05% 10.55% 14.22% 10.06% Jul-95 0.067527 -0.02756907 0.04796536 0.00137996 Variance 0.65% 1.11% 2.02% 1.01% Aug-95 -0.04580883 0.0276755 0.06787207 0.02185879 Sep-95 0.06429633 0.01204967 -0.05458291 -0.02185879 Covraiance matrix Boeing Nordstrom Starbucks Microsoft Oct-95 -0.04112964 -0.11909643 0.0356549 0.09982034 Boeing 0.006 0.001 0.003
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