Porfolio Summary Daily Returns. Assets Weight Return St Deviation Summary Statistics WFC XOM INTC WFC XOM INTC WFC 25% 11.9% 39.0% Annual Return (Simple) 11.9% 7.0% 11.6% -0.2% -0.7% 1.9% XOM 60% 7.0% 26.1% Std Deviation (Annual) 39.0% 26.1% 38.2% 0.8% -0.9% 2.0% INTC 15% 11.6% 38.2% Variance 15.2% 6.8% 14.6% -0.9% 4.0% 5.1% Portfolio Summary 100% 0.3% -0.2% -0.2% Correlation Matrix WFC XOM INTC -0.3% -0.6% 0.3% WFC -3.8% -4.1% 7.8% XOM -2.9% -0.7% -3.0% INTC -1.5% -0.4% 2.5% -2.4% -1.1% -3.8% Covariance Matrix WFC XOM INTC 4.9% 1.9% 1.2% WFC -1.8% 0.0% 3.0% XOM 1.5% -0.1% -0.8% INTC -0.7% 0.2% -3.4% -1.0% 0.4% -3.5% -1.2% 0.9% 1.4% -1.4% 0.3% 4.8%
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What do you notice about the average of the volatilities of the individual stocks, compared to the volatility of the equally weighted portfolio? Ticker | Annual Standard Deviation | Annual Mean Return ADM | 32.60% | 4.21% AAPL | 37.29% | 39.03% CAT | 43.08% | 17.22% DE | 37.18% | 15.13% GIS | 14.35% | 8.60% GOOG | 35.60% | 9.88% HPQ | 29.55% | -6.85% IBM | 19.59% | 17.05% JPM | 36.72% | 4.83% INTC | 28.12% | 11.84% PG | 17.41% | 4.21% WMT | 16.02% | 7.72% T | 20.27% | 2.73% Equally Weighted Portfolio | 18.21% | 10.43% Scattter Plot of Standard Deviation Againts Average Return Standard Deviation (Vortality)
Akash M.
Download monthly stock price data for Oracle Corporation (ORCL), Microsoft Corporation (MSFT), Dell Corporation (DELL), and Intel Corporation (INTC) for 2007 and 2008. Download the same data for S&P 500 Index (SPX) for the same period. Answer the following questions: A- What is the mean return, variance, and standard deviation of a portfolio consisting of the four stocks, where wealth is allocated equally among stocks? B- On average, would you be better off investing in this portfolio or investing in the S&P 500 Index during the period of two years? Price data Return data Date Oracle ORCL Microsoft MSFT Dell INTC S&P 500 ^SPX Portfolio returns Price data Date Oracle ORCL Microsoft MSFT Dell Intel INTC S&P 500 ^SPX 1/3/07 17.03 29.34 24.22 19.35 825.88 2/1/07 16.31 26.87 22.85 18.43 903.25 3/1/07 18 26.59 23.21 17.76 896.24 4/2/07 18.66 28.56 25.21 19.96 968.75 5/1/07 19.24 29.37 26.91 20.69 1166.36 6/1/07 19.56 28.21 28.55 22.15 1282.83 7/2/07 18.98 27.75 27.97 22.04 1267.38 8/1/07 20.13 27.59 28.25 24.14 1280 9/4/07 21.49 28.29 27.6 24.24 1400.38 10/1/07 22.01 35.35 30.6 25.22 1385.59 11/1/07 20.03 32.38 24.54 24.55 1322.7 12/3/07 22.41 34.3 24.51 25.1 1330.63 1/2/08 20.4 31.41 20.04 19.86 1378.55 2/1/08 18.66 26.31 19.9 18.91 1468.36 3/3/08 19.41 27.45 19.92 20.06 1481.14 4/1/08 20.7 27.59 18.63 21.08 1549.38 5/1/08 22.67 27.5 23.06 22.08 1526.75 6/2/08 20.84 26.71 21.88 20.46 1473.99 7/1/08 21.37 24.97 24.57 21.14 1455.27 8/1/08 21.77 26.6 21.73 21.92 1503.35 9/2/08 20.16 26.02 16.48 17.96 1530.62 10/1/08 18.15 21.77 12.2 15.37 1482.37 11/3/08 15.97 19.84 11.17 13.34 1420.86 12/1/08 17.6 19.08 10.24 14.18 1406.82 1/2/09 17.96 20.14 10.61 14.42 1438.24 Portfolio proportions ORCL MSFT Dell INTC Date 1/3/07 2/1/07 3/1/07 4/2/07 5/1/07 6/1/07 7/2/07 8/1/07 9/4/07 10/1/07 11/1/07 12/3/07 1/2/08 2/1/08 3/3/08 4/1/08 5/1/08 6/2/08 7/1/08 8/1/08 9/2/08 10/1/08 11/3/08 12/1/08 1/2/09 Mean Variance Sigma
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