Chapter 07 - UN-5BStock pricesMonthStock AStock

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Unformatted text preview: UN-5BStock pricesMonthStock AStock B25.0045.00124.1244.85223.3746.88324.7545.25426.6250.87526.5053.25628.0053.25728.8862.75829.7565.50931.3866.871036.2578.501137.1378.001236.8868.23CALCULATING THE RETURNSStock AStock BMonthPriceReturnPriceReturn25.0045.00124.12-3.58%44.85-0.33%223.37-3.16%46.884.43%<-- =LN(E23/E22)324.755.74%45.25-3.54%426.627.28%50.8711.71%526.50-0.45%53.254.57%628.005.51%53.250.00%728.883.09%62.7516.42%829.752.97%65.504.29%931.385.33%66.872.07%1036.2514.43%78.5016.03%1137.132.40%78.00-0.64%1236.88-0.68%68.23-13.38%Monthly mean3.24%3.47%<-- =AVERAGE(F22:F33)Monthly variance0.23%0.65%<-- =VARP(F22:F33)Monthly stand. dev.4.78%8.03%<-- =STDEVP(F22:F33)Annual mean38.88%41.62%<-- =12*F35Annual variance2.75%7.75%<-- =12*F36Annual stand. dev.16.57%27.83%<-- =SQRT(F40)COVARIANCE AND VARIANCE CALCULATIONStock AStock BReturnReturn-meanReturnReturn-meanProduct-0.0358-0.0682-0.0033-0.03800.00259 <-- =E48*B48-0.0316-0.06400.04430.0096-0.000610.05740.0250-0.0354-0.0701-0.001750.07280.04040.11710.08240.00333-0.0045-0.03690.04570.0110-0.000410.05510.02270.0000-0.0347-0.000790.0309-0.00150.16420.1295-0.000190.0297-0.00270.04290.0082-0.000020.05330.02090.0207-0.0140-0.000290.14430.11190.16030.12570.014060.0240-0.0084-0.0064-0.04110.00035-0.0068-0.0392-0.1338-0.16850.00660Covariance0.00191 <-- =AVERAGE(G48:G59)0.00191 <-- =COVAR(A48:A59,D48:D59)Correlation0.49589 <-- =G62/(F37*C37)0.49589 <-- =CORREL(A48:A59,D48:D59)0.035 2.0354.0356.0358.035 10.035 12.0350.030.851.672.493.314.134.955.776.597.418.239.059.87The Efficient FrontierPortfolio sigmaPortfolio mean return=D48-$F$35ABCDEFGHIJ123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119-5%0%5%10%15%20%-15%-10%-5%0%5%10%15%20%f(x) = 0.8329848786x + 0.0076968911R = 0.2459063155Graphing Returns of Stock A and Stock BStock A returnsStock B returnsPage 135-136Page 3CALCULATING THE MEAN AND SIGMA OF A PORTFOLIOProportion of A0.5Month1-3.58%-0.33%-1.96% <-- =C6*$B$3+(1-$B$3)*D62-3.16%4.43%0.63%35.74%-3.54%1.10%47.28%11.71%9.50%5-0.45%4.57%2.06%65.51%0.00%2.75%73.09%16.42%9.76%82.97%4.29%3.63%95.33%2.07%3.70%1014.43%16.03%15.23%112.40%-0.64%0.88%12-0.68%-13.38%-7.03%Mean3.35% <-- =AVERAGE(E6:E17)Variance0.31% <-- =VARP(E6:E17)St. dev.5.60% <-- =STDEVP(E6:E17)ProportionSigmaMean5.60%3.35% <-- Table headers: =SQRT(E19) and =E18 respectively8.03%3.47%0.0757.62%3.45%For the technique of building data tables,0.150....
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This note was uploaded on 02/02/2012 for the course BUSINESS 201 taught by Professor Acknan during the Spring '11 term at MIT.

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Chapter 07 - UN-5BStock pricesMonthStock AStock

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