fm3_chapter08

fm3_chapter08 - A B C D E F 1 PRICE AND RETURN DATA FOR...

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Prices Returns Date WMT TGT WMT TGT 5-Jul-01 26.07 37.40 1-Aug-01 22.00 33.53 -16.97% -10.92% 4-Sep-01 20.07 30.73 -9.18% -8.72% 1-Oct-01 20.02 30.15 -0.25% -1.91% 1-Nov-01 23.35 36.38 15.39% 18.78% 3-Dec-01 24.79 39.79 5.98% 8.96% 2-Jan-02 23.03 43.04 -7.36% 7.85% 4-Feb-02 18.09 40.66 -24.14% -5.69% 1-Mar-02 19.17 41.85 5.80% 2.88% 1-Apr-02 20.25 42.36 5.48% 1.21% 1-May-02 22.79 40.29 11.82% -5.01% 3-Jun-02 20.52 37.03 -10.49% -8.44% 1-Jul-02 16.50 32.41 -21.80% -13.33% 1-Aug-02 16.27 33.30 -1.40% 2.71% 3-Sep-02 14.92 28.74 -8.66% -14.73% 1-Oct-02 18.01 29.32 18.82% 2.00% 1-Nov-02 22.43 33.92 21.95% 14.57% 2-Dec-02 21.75 29.26 -3.08% -14.78% 2-Jan-03 18.43 27.51 -16.56% -6.17% 3-Feb-03 18.87 28.00 2.36% 1.77% 3-Mar-03 18.67 28.60 -1.07% 2.12% 1-Apr-03 16.32 32.69 -13.45% 13.37% 1-May-03 16.57 35.87 1.52% 9.28% 2-Jun-03 16.12 37.05 -2.75% 3.24% 1-Jul-03 17.91 37.52 10.53% 1.26% 1-Aug-03 20.45 39.83 13.26% 5.97% 2-Sep-03 20.60 36.91 0.73% -7.61% 1-Oct-03 22.92 38.98 10.67% 5.46% 3-Nov-03 24.12 38.05 5.10% -2.41% 1-Dec-03 25.47 37.74 5.45% -0.82% 2-Jan-04 25.50 37.31 0.12% -1.15% 2-Feb-04 30.06 43.27 16.45% 14.82% 1-Mar-04 33.87 44.34 11.93% 2.44% 1-Apr-04 33.10 42.69 -2.30% -3.79% 3-May-04 34.97 44.08 5.50% 3.20% 1-Jun-04 36.91 41.88 5.40% -5.12% 1-Jul-04 39.23 42.99 6.10% 2.62% 2-Aug-04 37.58 44.04 -4.30% 2.41% 1-Sep-04 34.60 44.70 -8.26% 1.49% 1-Oct-04 34.04 49.41 -1.63% 10.02% 1-Nov-04 37.99 50.68 10.98% 2.54% 1-Dec-04 40.74 51.38 6.99% 1.37% 3-Jan-05 42.17 50.23 3.45% -2.26% 1-Feb-05 43.92 50.36 4.07% 0.26% 1-Mar-05 51.25 49.57 15.43% -1.58% PRICE AND RETURN DATA FOR WALMART (W AND TARGET (TGT) Yahoo's closing price adjusts for dividends A B C D E F 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48
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1-Apr-05 46.92 45.99 -8.83% -7.50% 2-May-05 49.25 53.30 4.85% 14.75% 1-Jun-05 52.04 54.00 5.51% 1.30% 1-Jul-05 55.69 58.31 6.78% 7.68% 1-Aug-05 48.24 53.45 -14.36% -8.70% 1-Sep-05 47.04 51.64 -2.52% -3.45% 3-Oct-05 50.93 55.37 7.95% 6.97% 1-Nov-05 52.19 53.31 2.44% -3.79% 1-Dec-05 55.31 54.76 5.81% 2.68% 3-Jan-06 55.63 54.54 0.58% -0.40% 1-Feb-06 58.46 54.29 4.96% -0.46% 1-Mar-06 60.23 51.90 2.98% -4.50% 3-Apr-06 65.46 52.99 8.33% 2.08% 1-May-06 60.84 48.92 -7.32% -7.99% 1-Jun-06 67.51 48.87 10.40% -0.10% 3-Jul-06 67.65 49.17 0.21% 0.61% WMT TGT Monthly mean 1.59% 0.46% Monthly variance 0.0093 0.0052 Monthly standard deviation 9.63% 7.19% Annual mean 19.07% 5.47% Annual variance 0.1114 0.0620 Annual standard deviation 33.37% 24.90% A B C D E F 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73
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#MACRO? #MACRO? #MACRO? (WMT) G 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48
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#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? G 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73
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UN-5B COMPUTING THE COVARIANCE FOR WALMART (WMT) AND TARGET (TGT) Date WMT Return TGT Return Product 5-Jul-01 26.07 37.40 1-Aug-01 22.00 -16.97% -18.56% 33.53 -10.92% -11.38% #MACRO? 0.0211 #MACRO? 4-Sep-01 20.07 -9.18% -10.77% 30.73 -8.72% -9.18% 0.0099 1-Oct-01 20.02 -0.25% -1.84% 30.15 -1.91% -2.36% 0.0004 1-Nov-01 23.35 15.39% 13.80% 36.38 18.78% 18.33% 0.0253 3-Dec-01 24.79 5.98% 4.40% 39.79 8.96% 8.50% 0.0037 2-Jan-02 23.03 -7.36% -8.95% 43.04 7.85% 7.40% -0.0066 4-Feb-02 18.09 -24.14% -25.73% 40.66 -5.69% -6.14% 0.0158 1-Mar-02 19.17 5.80% 4.21% 41.85 2.88% 2.43% 0.0010 1-Apr-02 20.25 5.48% 3.89% 42.36 1.21% 0.76% 0.0003 1-Nov-05 52.19 2.44% 0.85% 53.31 -3.79% -4.25% -0.0004 1-Dec-05 55.31 5.81% 4.22% 54.76 2.68% 2.23% 0.0009 3-Jan-06 55.63 0.58% -1.01% 54.54 -0.40% -0.86% 0.0001 1-Feb-06 58.46 4.96% 3.37% 54.29 -0.46% -0.92% -0.0003 1-Mar-06 60.23 2.98% 1.39% 51.90 -4.50% -4.96% -0.0007 3-Apr-06 65.46 8.33% 6.74% 52.99 2.08% 1.62% 0.0011 1-May-06 60.84 -7.32% -8.91% 48.92 -7.99% -8.45% 0.0075 1-Jun-06 67.51 10.40% 8.81% 48.87 -0.10% -0.56% -0.0005 3-Jul-06 67.65 0.21% -1.38% 49.17 0.61% 0.16% 0.0000 Average 1.59% #MACRO? 0.46% Covariance 0.0038 #MACRO? Standard deviation 9.63% #MACRO? 7.19% 0.0038 #MACRO? Correlation 0.5484 #MACRO? 0.5484 #MACRO? 0.5484 #MACRO? Return minus mean Return minus mean A B C D E F G H I J K 1 2 3 4 5 6 7 8 9 10 11 12 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70
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UN-5B Date WMT Return TGT Return Product 5-Jul-01 26.07 37.40 1-Aug-01 22.00 -16.97 -18.56 33.53 -10.92 -11.38 #MACRO? 211.24 #MACRO? 4-Sep-01 20.07 -9.18 -10.77 30.73 -8.72 -9.18 98.84 1-Oct-01 20.02 -0.25 -1.84 30.15 -1.91 -2.36 4.34 1-Nov-01 23.35 15.39 13.80 36.38 18.78 18.33 252.87 3-Dec-01 24.79 5.98 4.40 39.79 8.96 8.50 37.37 2-Jan-02 23.03 -7.36 -8.95 43.04 7.85 7.40 -66.22 4-Feb-02 18.09 -24.14 -25.73 40.66 -5.69 -6.14 158.12 1-Mar-02 19.17 5.80 4.21 41.85 2.88 2.43 10.22 1-Apr-02 20.25 5.48 3.89 42.36 1.21 0.76 2.94 1-Nov-05 52.19 2.44 0.85 53.31 -3.79 -4.25 -3.63 1-Dec-05 55.31 5.81 4.22 54.76 2.68 2.23 9.39 3-Jan-06 55.63 0.58 -1.01 54.54 -0.40 -0.86 0.87 1-Feb-06 58.46 4.96 3.37 54.29 -0.46 -0.92 -3.09 1-Mar-06 60.23 2.98 1.39 51.90 -4.50 -4.96 -6.91
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fm3_chapter08 - A B C D E F 1 PRICE AND RETURN DATA FOR...

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