8 58 192 68 04 3 54 188 19 4 0 21 04 2 15 4

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Unformatted text preview: 0.2% -2.2% 0.4 % -3.4 % 0.4 8% -2.7% -0.1% -3.1% 1.0% -4 .3% 0.4 7% -3.6% 0.6% 9.7% 17.9% 9.0% 0.4 7% 9.2% 17.4 % -2.0% -1.2% 1.0% 0.4 6% -2.5% -1.7% -5.1% -13.4 % -4 .8% 0.4 4 % -5.5% -13.8% 5.8% 19.2% 6.8% 0.4 3% 5.4 % 18.8% 1.9% -4 .0% 2.1% 0.4 2% 1.5% -4 .4 % 6.3% 14 .3% 6.0% 0.4 1% 5.8% 13.9% -2.9% 5.9% -1.5% 0.39% -3.2% 5.5% -0.6% 3.0% -1.2% 0.39% -1.0% 2.6% -3.2% -3.2% -3.4 % 0.38% -3.6% -3.6% 5.4 % 11.1% 6.5% 0.38% 5.1% 10.7% -2.5% -3.5% -3.0% 0.38% -2.9% -3.9% 3.8% -4 .8% 2.4 % 0.36% 3.4 % -5.1% Date March 2003 February 2003 January 2003 December 2002 November 2002 October 2002 September 2002 Aug ust 2002 July 2002 June 2002 May 2002 April 2002 March 2002 February 2002 January 2002 December 2001 November 2001 October 2001 September 2001 Aug ust 2001 July 2001 June 2001 May 2001 April 2001 March 2001 February 2001 January 2001 December 2000 November 2000 October 2000 September 2000 Aug ust 2000 July 2000 June 2000 May 2000 April 2000 March 2000 February 2000 January 2000 December 1999 November 1999 October 1999 September 1999 Aug ust 1999 July 1999 June 1999 May 1999 April 1999 Average return (annual) -8.8% Standard deviation (annual) 17.6% Correlation with market return, ρ R-square Slope -3.4 % -8.2% 3.7% -12.5% -7.0% 29.2% 0.66 0.4 4 1.09 18.2% 0.99 0.98 1.02 0.5% 0.09 0.01 0.00 17.6% 1.00 1.00 1.00 29.1% 0.66 0.4 4 1.09 Using the AVERAGE function and the STDEV function, we found the average historical returns and standard deviations. (We converted these from monthly fig ures to annual fig ures. Notice that you must multiply the monthly standard deviation by the square root of 12, and not 12, to convert it to an annual basis.) These are shown in the rows above. We also use the CORREL function to find the correlation of the market with the other assets Using the function Wizard for SLOPE, we found the slope of the reg ression line, which is the beta coefficient. We also use the function Wizard and the RSQ function to find the R-Squared of the reg ression. Using the Chart Wizard, we plotted the Wal-Mart...
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This document was uploaded on 01/20/2014.

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