fm3_problems10 - Exercise 1 data Page 1 DATA FOR 6...

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Unformatted text preview: Exercise 1 data Page 1 DATA FOR 6 FURNITURE COMPANIES La-Z-Boy Kimball Flexsteel 1982 36.67% 0.20% 41.54% 21.92% 26.13% 22.50% 1983 122.82% 61.43% 195.09% 62.27% 73.38% 117.89% 1984 14.44% 63.51%-38.38%-1.27% 45.15% 7.80% 1985 21.39% 28.42% 1.30% 81.17% 24.27% 38.14% 1986 45.36%-7.44% 21.89% 19.83% 10.73% 54.48% 1987 20.19% 48.27% 9.11%-10.21%-11.92% 26.82% 1988-8.94%-11.28% 12.65% 13.77% 7.06%-6.24% 1989 27.02% 12.85% 12.08% 32.55%-7.55% 123.03% 1990-11.64% 2.42%-17.13%-6.48% 1.31% 15.48% 1991 20.29% 6.90% 3.62% 50.12%-5.54% 19.92% 1992 34.08% 22.21% 33.46% 84.40% 5.71% 62.76% Beta 0.80 0.95 0.65 0.85 0.85 1.40 Mean returns 29.24% 20.68% 25.02% 31.64% 15.34% 43.87% Leggett & Platt Herman Miller Shaw Industries A B C D E F G 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Exercise 1 data Page 2 S #MACRO? H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Exercise 1 Page 3 La-Z-Boy Kimball Flexsteel 1982 36.67% 0.20% 41.54% 21.92% 26.13% 22.50% 1983 122.82% 61.43% 195.09% 62.27% 73.38% 117.89% 1984 14.44% 63.51%-38.38%-1.27% 45.15% 7.80% 1985 21.39% 28.42% 1.30% 81.17% 24.27% 38.14% 1986 45.36%-7.44% 21.89% 19.83% 10.73% 54.48% 1987 20.19% 48.27% 9.11%-10.21%-11.92% 26.82% 1988-8.94%-11.28% 12.65% 13.77% 7.06%-6.24% 1989 27.02% 12.85% 12.08% 32.55%-7.55% 123.03% 1990-11.64% 2.42%-17.13%-6.48% 1.31% 15.48% 1991 20.29% 6.90% 3.62% 50.12%-5.54% 19.92% 1992 34.08% 22.21% 33.46% 84.40% 5.71% 62.76% mean 29.24% 20.68% 25.02% 31.64% 15.34% 43.87% sigma 33.94% 25.47% 57.74% 32.13% 24.38% 40.66% Excess return matrix La-Z-Boy Kimball Flexsteel 1982 7.42%-20.48% 16.52%-9.73% 10.79%-21.37% 1983 93.58% 40.75% 170.07% 30.63% 58.04% 74.02% 1984-14.81% 42.83%-63.40%-32.92% 29.81%-36.07% 1985-7.85% 7.74%-23.72% 49.53% 8.94%-5.73% 1986 16.12%-28.12%-3.13%-11.81%-4.61% 10.61% 1987-9.05% 27.59%-15.91%-41.86%-27.26%-17.05% 1988-38.18%-31.96%-12.37%-17.87%-8.27%-50.11% 1989-2.23%-7.83%-12.94% 0.91%-22.89% 79.16% 1990-40.89%-18.26%-42.15%-38.12%-14.03%-28.39% 1991-8.95%-13.78%-21.40% 18.48%-20.88%-23.95% 1992 4.84% 1.53% 8.44% 52.75%-9.63% 18.89% average 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% this line included as ch transpose of excess return matrix 1982 1983 1984 1985 1986 1987 1988 1989 La-Z-Boy 7.42% 93.58%-14.81%-7.85% 16.12%-9.05%-38.18%-2.23% Kimball-20.48% 40.75% 42.83% 7.74%-28.12% 27.59%-31.96%-7.83% Flexsteel 16.52% 170.07%-63.40%-23.72%-3.13%-15.91%-12.37%-12.94% Leggett-9.73% 30.63%-32.92% 49.53%-11.81%-41.86%-17.87% 0.91% Miller 10.79% 58.04% 29.81% 8.94%-4.61%-27.26%-8.27%-22.89% Shaw-21.37% 74.02%-36.07%-5.73% 10.61%-17.05%-50.11% 79.16% Variance-covariance matrix La-Z-Boy Kimball Flexsteel Leggett Miller Shaw Means La-Z-Boy 0.1152 0.0398 0.1792 0.0492 0.0568 0.0989 29.24% Kimball 0.0398 0.0649 0.0447 0.0062 0.0349 0.0269 20.68% Flexsteel 0.1792 0.0447 0.3334 0.0775 0.0886 0.1487 25.02% Leggett 0.0492 0.0062 0.0775 0.1033 0.0191 0.0597 31.64% Miller 0.0568 0.0349 0.0886 0.0191 0.0594 0.0243 15.34% Shaw 0.0989 0.0269 0.1487 0.0597 0.0243 0.1653 43.87% Leggett & Platt Herman Miller...
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This note was uploaded on 01/23/2011 for the course FGB 780 taught by Professor Edwardchang during the Spring '09 term at Missouri State University-Springfield.

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fm3_problems10 - Exercise 1 data Page 1 DATA FOR 6...

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