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most recent price of the shares on the company
the S&P 500 index over the same period.
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CAPM portfoio
For the 3-month T-Bill also use the adjusted close. Note that the TBill
returns are annual rates that must be converted to monthly rates.
a. Calculate the monthly return for each stock or ETF.
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Average monthly return and the standard deviation of returns
209357 Calculate the average monthly return and the standard deviation of these returns for both the S&P 500 and Ford.
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Various Calculations Given Time Series of IBM Stock Prices
Compute the sample auto-covariances and auto-correlations for both daily and monthly continuously compounded returns for k=1,...,22 for both IBM and the S&P index. Plot the autocorrelation functions.
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Regression : Interpretation of Intercept and Slope of Regression Line
The slope shows the relation between the returns of the stock and the returns of S&P 500. Specifically, the 1.27 slope means that for each "extra" 1% in S&P, TWCUX will have a return 1.27% higher.
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Arithmetic Average, Standard Deviation and Returns
371195 Arithmetic Average, Standard Deviation and Returns Calculate the arithmetic average, the geometric average, the variance and standard deviation For the S&P 500 index for the decade of 1980-1990.
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Index Models, CAPM and Arbitrage Pricing Theory
On the answer sheet report the average monthly returns for the S&P 500 index, Apple and Exxon, as well as the average monthly risk-free rate.
2. Calculate excess returns for the S&P 500 index, Apple and Exxon.
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Expected Return and Volatility Question
Over the same period, crude oil has seen an average monthly return of 1.8 percent and a monthly volatility of 2.4 percent. The correlation between the S & P 500 index and the Crude Oil ETF's returns have been 0.2.
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Holding-Period Returns Question
Calculate the average monthly holding-period returns and the standard deviation of these returns for the S&P 500 Index, Wal-Mart, and Target.
c.
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S&P, Wal-Mart, and Target: Holding Period Returns
Calculate the average monthly holding period returns and the standard deviation of these returns for the S&P 500 Index, Wal-Mart, and Target.
c.