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fm3_problems10 - Exercise 1 data A 1 2 1982 3 1983 4 1984 5...

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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
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Exercise 1 data Page 2 S #MACRO? H 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16
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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 Shaw Industries Leggett & Platt Herman Miller Shaw Industries
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Exercise 1 Page 4 heck only! 1990 1991 1992 -40.89% -8.95% 4.84% -18.26% -13.78% 1.53% -42.15% -21.40% 8.44% -38.12% 18.48% 52.75% -14.03% -20.88% -9.63% -28.39% -23.95% 18.89%
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Exercise 2 Page 5 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% Standard deviation 35.60% 26.71% 60.55% 33.70% 25.57% 42.65% Variance 0.1267 0.0713 0.3667 0.1136 0.0654 0.1819 Market port. variance 18% La-Z-Boy Kimball Flexsteel La-Z-Boy 0.1267 Kimball Flexsteel Leggett & Platt Herman Miller Shaw Industries Leggett & Platt Herman Miller Shaw Industries 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 17 18 19 20 21 22 23 24 25 26 27
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Exercise 2 Page 6 #MACRO? #MACRO? #MACRO? #MACRO? H 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
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#MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO? #MACRO?
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