Calculate returns and correlations, Portfolio Management

Assignment Help:

Place the information described in this stage in the worksheet titled "Analysis".

Step 1) Calculate the arithmetic average periodic return and standard deviation of periodic returns for all four stocks, the S&P 500, your two "combined asset portfolios, and the T-bill.  Use the "average" function for the arithmetic average and the "stdev" function for standard deviation. Also compute the geometric average as

                        =((endingcumul ret/beginning cumul ret)^(1/# of returns)) - 1

Step 2) Calculate the arithmetic averages and standard deviations separately for the sub-periods listed in the 2nd table in the Analysis worksheet.

Step 3)Build a table of correlations similar to the table below for the correlations among ALL of the INDIVIDUAL stock returns and the S&P 500 returns (the following table is an example for several stocks; however, the data is old so don't expect to get these answers).  IGNORE YOUR 2 "COMBINED-ASSET" PORTFOLIO FOR THIS STEP.

173_Calculate Returns and Correlations.png

The formula for calculating the correlations is the "Correl" function.  To use this function, open the function box and then choose the correlation function.  When the dialog box opens, select the data in pairs with the asset appearing in the left column being the "y's" and the assets appearing across the top being your "x's."  Alternatively, just type "=correl(" and follow Excel's prompts. You will need to do this for each asset pair; however, you do not need to complete the top half since it is a mirror image of the bottom half.  Use the available data for each pair of stocks.


Related Discussions:- Calculate returns and correlations

MASTER ., 1. What are basic assumptions of CAPM? What are the advantages of...

1. What are basic assumptions of CAPM? What are the advantages of adopting CAPM model in the portfolio management?

Portfolio evaluation, two function(Performance measurement,portfolio evalua...

two function(Performance measurement,portfolio evaluation)

Uration and covexity, 12. Bill Peters is the investment officer of a $60 mi...

12. Bill Peters is the investment officer of a $60 million pension fund. He has become concerned about the big price swings that have occurred lately in the fund’s fixed income se

Assignment, #question characteristics of an investment

#question characteristics of an investment

Design eportfolio system, What you see below are the CCB MBA Learning Goals...

What you see below are the CCB MBA Learning Goals for MBA students. These are the learning goals which each of you track within the ePortfolio system. For each of the 6 goals or s

Portfolio Project, The purpose of this project is to help you to gain an un...

The purpose of this project is to help you to gain an understanding of how the stock market works and of the relationship between theory and practice. You are given a notional £20

Estimate of bond rating, Estimate of Bond Rating The score for UNH bas...

Estimate of Bond Rating The score for UNH based on the Altman model is a score of 3.23. Based on the bankruptcy range for this model, the bond rating for UNH is estimated in t

Portfolio theory, ‘If correlation among security returns were perfect-if re...

‘If correlation among security returns were perfect-if returns of all securities moved up and down together in perfect unison, diversification could do nothing to eliminate risk. T

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd