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FIN 327 INVESTMENTS: Assignment # 1 - Holding Period Returns

1) The following table provides month end prices and cash dividends from Exxon Mobil (XOM) for a recent two year period. Use these data to complete the following analyses.

Date Price Dividend
Dec-06 76.63
Nov-06 76.81 0.32
Oct-06 71.42
Sep-06 67.1
Aug-06 67.67 0.32
Jul-06 67.74
Jun-06 61.35
May-06 60.91 0.32
Apr-06 63.08
Mar-06 60.86
Feb-06 59.37 0.32
Jan-06 62.75
Dec-05 56.17
Nov-05 58.03 0.29
Oct-05 56.14
Sep-05 63.54
Aug-05 59.9 0.29
Jul-05 58.75
Jun-05 57.47
May-05 56.2 0.29
Apr-05 57.03
Mar-05 59.6
Feb-05 63.31 0.27
Jan-05 51.6

a) Find the holding period return for each month.

b) Calculate the arithmetic mean return and standard deviation. Annualize the arithmetic mean and standard deviation (to annualize the monthly standard deviation multiply it by the square root of 12).

c) Calculate the geometric mean. Why is the geometric mean less than the arithmetic mean?

d) If you begin with the year with $10,000 invested in Exxon Mobil, how much would the investment be worth at the end of the two year period? Allow fractional shares and assume you reinvest your dividends in additional shares of XOM.

Please see attached file. Only qn 1 from the attachment is to be answered.

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Solution Summary

Calculates holding period return, arithmetic mean, standard deviation, geometric mean of returns etc.