Module2_PortMgmt_Lecture

Module2_PortMgmt_Lecture - Course Outline: I Measuring...

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Unformatted text preview: Course Outline: I Measuring risk-Two assets--Regression, Beta systematic and unsystematic Systematic vs. Unsystematic Risk SPY PG AMR IBM OIH Min-16.52%-11.84%-58.98%-22.65%-32.84% Max 9.93% 10.14% 113.33% 35.38% 21.41% Avg 0.06% 0.58% 1.80% 0.34% 1.10% 4.51% 4.43% 26.23% 7.65% 8.83% 1.00 0.43 0.52 0.65 0.61 1.00 0.42 3.02 1.09 1.19 0.55% 1.61% 0.27% 1.03% Returns Decomposition PG AMR IBM OIH Returns Attributed to Market factor 0.03% 0.19% 0.07% 0.07% Returns Attributed to Non-Market factors α 0.55% 1.61% 0.27% 1.03% Total Returns 0.58% 1.80% 0.34% 1.10% Risk Decomposition PG AMR IBM OIH Systematic Risk 0.000366 0.018557 0.002440 0.002870 Unsystematic Risk 0.001594 0.050256 0.003420 0.004923 % of risk explained by mkt 18.68% 26.97% 41.64% 36.83% Systematic Risk 0.000366 0.018557 0.002440 0.002870 Unsystematic Risk 0.001594 0.050256 0.003420 0.004923 Closing Prices Calculated Returns Growth of $1,000 Date SPY PG AMR IBM OIH SPY PG AMR IBM OIH SPY PG AMR IBM OIH 12/31/2001 114.30 39.57 22.30 120.96 61.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 1/31/2002 113.18 40.84 24.94 107.89 58.62 -0.98% 3.22% 11.84%-10.81%-3.90% 990.20 1,032.23 1,118.39 891.95 960.98 2/28/2002 111.15 42.40 26.10 98.12 62.10 -1.79% 3.81% 4.65%-9.06% 5.94% 972.44 1,071.53 1,170.40 811.18 1,018.03 3/29/2002 114.52 45.05 26.41 104.00 68.90 3.03% 6.25% 1.19% 5.99% 10.95% 1,001.92 1,138.51 1,184.30 859.79 1,129.51 4/30/2002 107.86 45.13 21.47 83.76 71.58 -5.82% 0.19%-18.71%-19.46% 3.89% 943.66 1,140.65 962.78 692.46 1,173.44 5/31/2002 107.22 44.78 20.95 80.45 71.20 -0.59%-0.79%-2.42%-3.95%-0.53% 938.06 1,131.68 939.46 665.10 1,167.21 6/28/2002 98.96 44.65 16.86 72.00 61.47 -7.70%-0.28%-19.52%-10.50%-13.67% 865.79 1,128.52 756.05 595.24 1,007.70 7/31/2002 91.16 44.50 11.18 70.40 52.95 -7.88%-0.35%-33.69%-2.22%-13.86% 797.55 1,124.61 501.35 582.01 868.03 8/30/2002 91.78 44.33 10.19 75.38 53.60 0.68%-0.38%-8.86% 7.07% 1.23% 802.97 1,120.31 456.95 623.18 878.69 9/30/2002 81.79 44.69 4.18 58.31 50.05 -10.88% 0.82%-58.98%-22.65%-6.62% 715.57 1,129.53 187.44 482.06 820.49 10/31/2002 88.52 44.23 4.72 78.94 53.85 8.23%-1.04% 12.92% 35.38% 7.59% 774.45 1,117.78 211.66 652.61 882.79 11/29/2002 93.98 42.27 7.75 86.92 58.70 6.17%-4.43% 64.19% 10.11% 9.01% 822.22 1,068.24 347.53 718.58 962.30 12/31/2002 88.23 42.97 6.60 77.50 57.30 -6.12% 1.67%-14.84%-10.84%-2.39% 771.92 1,086.06 295.96 640.71 939.34 1/31/2003 86.06 42.79 2.90 78.20 54.57 -2.46%-0.43%-56.06% 0.90%-4.76% 752.93 1,081.39 130.04 646.49 894.59 2/28/2003 84.90 40.93 2.34 77.95 57.75 -1.35%-4.34%-19.31%-0.32% 5.83% 742.78 1,034.50 104.93 644.43 946.72 3/31/2003 84.74 44.53 2.10 78.43 55.04 -0.19% 8.78%-10.26% 0.62%-4.69% 741.38 1,125.36 94.17 648.40 902.30 4/30/2003 91.91 44.93 4.48 84.90 55.15 8.46% 0.90% 113.33% 8.25% 0.20% 804.11 1,135.47 200.90 701.88 904.10 5/30/2003 96.95 45.91 6.34 88.04 64.22 5.48% 2.19% 41.52% 3.70% 16.45% 848.21 1,160.37 284.30 727.84 1,052.79 6/30/2003 97.63 44.59 11.00 82.50 60.15 0.70%-2.88% 73.50%73....
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This note was uploaded on 12/10/2011 for the course FNBU 3432 taught by Professor Yang during the Spring '10 term at Bentley.

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Module2_PortMgmt_Lecture - Course Outline: I Measuring...

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