Fin406-2010S-Project1

Fin406-2010S-Project1 - Investments Finance 320 Course...

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1 Fin 406 Dr. JingZhi (Jay) Huang Security Analysis & Smeal College of Business Portfolio Management Penn State University PROJECT 1 (due Feb. 18) As indicated on the syllabus, students should work on this project as a group. Each group (up to four students in each group) just needs to hand in one report for the project. Please hand in a hard copy of the report on the date due and do not email the report. Please also write down the names of all the group members on the cover page of the report. This project consists of four questions as follows. 1. Estimate the correlation between two assets based on real data. (a) Download weekly prices of the following four ETFs: SPY, SDS, SSO, and SHV over the period 02/01/2009-02/01/2010 from Yahoo. (b) Compute their weekly returns using the adj. close prices. (c) Estimate the correlation coefficient between SPY and each of the other three ETFs, respectively, using Excel function CORREL. You can refer to Example 6.1 in the textbook on how to use this excel function to compute the correlation.
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