How do the statistics computed in the half-periods differ

Reference no: EM133557901

The 'Pumpkin Patch Ltd. Spreadsheet' can be found on the Canvas. It has a time series of beginning of the month closing prices for the Pumpkin Patch Ltd. and the S&P 500. Using this spreadsheet, complete the following tasks:

- Convert the closing price series into holding period rates of return.

- Compute the average monthly rate of return for Pumpkin Patch Ltd. and the S&P 500.

- Compute the variance and standard deviation in the monthly rates of return for Pumpkin Patch Ltd. and the S&P 500. Compute the correlation in the monthly returns of Pumpkin Patch Ltd. and the S&P 500.

o Please provide a table of statistics as an appendix to your written assignment that includes the above

- Using the monthly rate of return for Pumpkin Patch Ltd. as the dependent variable and the return on the S&P 500 as the independent variable, estimate the slope and intercept coefficients for Pumpkin Patch Ltd.

- Split the period into two 'equal' sub-periods. Re-estimate the intercept and slope coefficients for each of the two sub-periods.

In a one-page document, discuss the results that you have obtained.

Be sure to clearly answer these questions:

How do the statistics computed in the 'half-periods' differ and how do they differ from those obtained from the whole period?

Based on your results, what kinds of difficulties do these results portend for empirical based portfolio management tools?

Reference no: EM133557901

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