Finance 367
Professor Bing Han
Spring 2008
Data Analysis #2
The data you need to do this problem set is contained in an Excel file named
DataPS1.xls which contains the series of historical holding period returns in the
text in Table 5.3.
(for your convenience, the data is presented in DataPS.xls as well as the
raw_data worksheet of Data_Analysis1_Answerkey.xls)
1.
Consider a portfolio, named Portfolio20B, which consists of 20% long term T
bonds and 80% large stocks.
Construct the series of returns that you would have
received on this portfolio for the period 19262001 by using Excel to calculate the
return to Portfolio20B as a weighted average of the returns to long term bonds and
large stocks (with weights .2 on long term bonds and .8 on large stocks).
Store
your series for the return to Portfolio20B as an additional column in the Excel
worksheet that contains the data on the historical returns on the indices.
Similarly,
consider a portfolio, named Portfolio40B, which consists of 40% long term T
bonds and 60% large stocks, and construct a series for the return to Portfolio40B
for the period 19262001, storing the series as an additional column in the
worksheet.
For each of the following data series:
long term Tbonds, large stocks, small
stocks, Portfolio20B, Portfolio40B, and Tbills, have Excel calculate the following
sample statistics for the 19262001 sample period:
a)
mean holding period return (that is, the arithmetic average)
b)
the standard deviation of the holding period return
Report your results for this question by printing out a table with 6 columns (one for
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 Spring '08
 han
 Finance, Standard Deviation, Capital Asset Pricing Model, large stocks, long term Tbonds

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