a) Using the returns on the S&P 500 Composite Index as the proxy for the overall stock-market
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Question:
a) Using the returns on the S&P 500 Composite Index as the proxy for the overall stock-market return, estimate the monthly average return, the standard deviation of monthly returns, and a beta for each stock listed above.
b) Which of the three stocks (IBM, CAT, MSFT) has the most total return variability if held in isolation (i.e., not as part of a well-diversified portfolio)? Clearly convey what measure you used to identify the amount of risk of a stock held in isolation.
c) Which of the three stocks (IBM, CAT, MSFT) has the most systematic risk? Clearly convey what measure you used to identify the amount of systematic risk.
| Month Ending | Company Name | Holding Period Returns | Holding Period Return on the S&P 500 Index |
| 20160129 | International Business Machines (IBM) | -0.093228 | -0.050735 |
| 20160229 | International Business Machines (IBM) | 0.060421 | -0.004128 |
| 20160331 | International Business Machines (IBM) | 0.155842 | 0.065991 |
| 20160429 | International Business Machines (IBM) | -0.036382 | 0.002699 |
| 20160531 | International Business Machines (IBM) | 0.06304 | 0.015329 |
| 20160630 | International Business Machines (IBM) | -0.012749 | 0.000906 |
| 20160729 | International Business Machines (IBM) | 0.058242 | 0.03561 |
| 20160831 | International Business Machines (IBM) | -0.002117 | -0.001219 |
| 20160930 | International Business Machines (IBM) | -0.000189 | -0.001234 |
| 20161031 | International Business Machines (IBM) | -0.032483 | -0.019426 |
| 20161130 | International Business Machines (IBM) | 0.064611 | 0.034174 |
| 20161230 | International Business Machines (IBM) | 0.02324 | 0.018201 |
| 20170131 | International Business Machines (IBM) | 0.051389 | 0.017884 |
| 20170228 | International Business Machines (IBM) | 0.038391 | 0.037198 |
| 20170331 | International Business Machines (IBM) | -0.031587 | -0.000389 |
| 20170428 | International Business Machines (IBM) | -0.079534 | 0.009091 |
| 20170531 | International Business Machines (IBM) | -0.03843 | 0.011576 |
| 20170630 | International Business Machines (IBM) | 0.007862 | 0.004814 |
| 20170731 | International Business Machines (IBM) | -0.059546 | 0.019349 |
| 20170831 | International Business Machines (IBM) | -0.000968 | 0.000546 |
| 20170929 | International Business Machines (IBM) | 0.014333 | 0.019303 |
| 20171031 | International Business Machines (IBM) | 0.061897 | 0.022188 |
| 20171130 | International Business Machines (IBM) | 0.009152 | 0.028083 |
| 20171229 | International Business Machines (IBM) | -0.003572 | 0.009832 |
| 20180131 | International Business Machines (IBM) | 0.067006 | 0.056179 |
| 20180228 | International Business Machines (IBM) | -0.038913 | -0.038947 |
| 20180329 | International Business Machines (IBM) | -0.015401 | -0.026885 |
| 20180430 | International Business Machines (IBM) | -0.055204 | 0.002719 |
| 20180531 | International Business Machines (IBM) | -0.014349 | 0.021608 |
| 20180629 | International Business Machines (IBM) | -0.011393 | 0.004842 |
| 20180731 | International Business Machines (IBM) | 0.037437 | 0.036022 |
| 20180831 | International Business Machines (IBM) | 0.021528 | 0.030263 |
| 20180928 | International Business Machines (IBM) | 0.032291 | 0.004294 |
| 20181031 | International Business Machines (IBM) | -0.236625 | -0.069403 |
| 20181130 | International Business Machines (IBM) | 0.090184 | 0.017859 |
| 20181231 | International Business Machines (IBM) | -0.085298 | -0.091777 |
| 20190131 | International Business Machines (IBM) | 0.182546 | 0.078684 |
| 20190228 | International Business Machines (IBM) | 0.03928 | 0.029729 |
| 20190329 | International Business Machines (IBM) | 0.021501 | 0.017924 |
| 20190430 | International Business Machines (IBM) | -0.005882 | 0.039313 |
| 20190531 | International Business Machines (IBM) | -0.083125 | -0.065778 |
| 20190628 | International Business Machines (IBM) | 0.085912 | 0.06893 |
| 20190731 | International Business Machines (IBM) | 0.074982 | 0.013128 |
| 20190830 | International Business Machines (IBM) | -0.074811 | -0.018092 |
| 20190930 | International Business Machines (IBM) | 0.072973 | 0.017181 |
| 20191031 | International Business Machines (IBM) | -0.080388 | 0.020432 |
| 20191129 | International Business Machines (IBM) | 0.017498 | 0.034047 |
| 20191231 | International Business Machines (IBM) | -0.003049 | 0.02859 |
| 20200131 | International Business Machines (IBM) | 0.072292 | -0.001628 |
| 20200228 | International Business Machines (IBM) | -0.083212 | -0.08411 |
| 20200331 | International Business Machines (IBM) | -0.147676 | -0.125119 |
| 20200430 | International Business Machines (IBM) | 0.131885 | 0.126844 |
| 20200529 | International Business Machines (IBM) | 0.007725 | 0.045282 |
| 20200630 | International Business Machines (IBM) | -0.033066 | 0.018388 |
| 20200731 | International Business Machines (IBM) | 0.017968 | 0.055101 |
| 20200831 | International Business Machines (IBM) | 0.016268 | 0.070065 |
| 20200930 | International Business Machines (IBM) | -0.0133 | -0.039228 |
| 20201030 | International Business Machines (IBM) | -0.082272 | -0.027666 |
| 20201130 | International Business Machines (IBM) | 0.120813 | 0.107546 |
| 20201231 | International Business Machines (IBM) | 0.019106 | 0.037121 |
| 20160129 | Microsoft Corp. (MSFT) | -0.00703 | -0.050735 |
| 20160229 | Microsoft Corp. (MSFT) | -0.069886 | -0.004128 |
| 20160331 | Microsoft Corp. (MSFT) | 0.085495 | 0.065991 |
| 20160429 | Microsoft Corp. (MSFT) | -0.097049 | 0.002699 |
| 20160531 | Microsoft Corp. (MSFT) | 0.069982 | 0.015329 |
| 20160630 | Microsoft Corp. (MSFT) | -0.034528 | 0.000906 |
| 20160729 | Microsoft Corp. (MSFT) | 0.10768 | 0.03561 |
| 20160831 | Microsoft Corp. (MSFT) | 0.020113 | -0.001219 |
| 20160930 | Microsoft Corp. (MSFT) | 0.002436 | -0.001234 |
| 20161031 | Microsoft Corp. (MSFT) | 0.040278 | -0.019426 |
| 20161130 | Microsoft Corp. (MSFT) | 0.012183 | 0.034174 |
| 20161230 | Microsoft Corp. (MSFT) | 0.031198 | 0.018201 |
| 20170131 | Microsoft Corp. (MSFT) | 0.040393 | 0.017884 |
| 20170228 | Microsoft Corp. (MSFT) | -0.004331 | 0.037198 |
| 20170331 | Microsoft Corp. (MSFT) | 0.029384 | -0.000389 |
| 20170428 | Microsoft Corp. (MSFT) | 0.039478 | 0.009091 |
| 20170531 | Microsoft Corp. (MSFT) | 0.025854 | 0.011576 |
| 20170630 | Microsoft Corp. (MSFT) | -0.01303 | 0.004814 |
| 20170731 | Microsoft Corp. (MSFT) | 0.054693 | 0.019349 |
| 20170831 | Microsoft Corp. (MSFT) | 0.033838 | 0.000546 |
| 20170929 | Microsoft Corp. (MSFT) | -0.003745 | 0.019303 |
| 20171031 | Microsoft Corp. (MSFT) | 0.11666 | 0.022188 |
| 20171130 | Microsoft Corp. (MSFT) | 0.016951 | 0.028083 |
| 20171229 | Microsoft Corp. (MSFT) | 0.016277 | 0.009832 |
| 20180131 | Microsoft Corp. (MSFT) | 0.110708 | 0.056179 |
| 20180228 | Microsoft Corp. (MSFT) | -0.008631 | -0.038947 |
| 20180329 | Microsoft Corp. (MSFT) | -0.026661 | -0.026885 |
| 20180430 | Microsoft Corp. (MSFT) | 0.024652 | 0.002719 |
| 20180531 | Microsoft Corp. (MSFT) | 0.061377 | 0.021608 |
| 20180629 | Microsoft Corp. (MSFT) | -0.002327 | 0.004842 |
| 20180731 | Microsoft Corp. (MSFT) | 0.075753 | 0.036022 |
| 20180831 | Microsoft Corp. (MSFT) | 0.062877 | 0.030263 |
| 20180928 | Microsoft Corp. (MSFT) | 0.018161 | 0.004294 |
| 20181031 | Microsoft Corp. (MSFT) | -0.066101 | -0.069403 |
| 20181130 | Microsoft Corp. (MSFT) | 0.042505 | 0.017859 |
| 20181231 | Microsoft Corp. (MSFT) | -0.084047 | -0.091777 |
| 20190131 | Microsoft Corp. (MSFT) | 0.028158 | 0.078684 |
| 20190228 | Microsoft Corp. (MSFT) | 0.077181 | 0.029729 |
| 20190329 | Microsoft Corp. (MSFT) | 0.052754 | 0.017924 |
| 20190430 | Microsoft Corp. (MSFT) | 0.107343 | 0.039313 |
| 20190531 | Microsoft Corp. (MSFT) | -0.049464 | -0.065778 |
| 20190628 | Microsoft Corp. (MSFT) | 0.083118 | 0.06893 |
| 20190731 | Microsoft Corp. (MSFT) | 0.017244 | 0.013128 |
| 20190830 | Microsoft Corp. (MSFT) | 0.015044 | -0.018092 |
| 20190930 | Microsoft Corp. (MSFT) | 0.008487 | 0.017181 |
| 20191031 | Microsoft Corp. (MSFT) | 0.031216 | 0.020432 |
| 20191129 | Microsoft Corp. (MSFT) | 0.059427 | 0.034047 |
| 20191231 | Microsoft Corp. (MSFT) | 0.041749 | 0.02859 |
| 20200131 | Microsoft Corp. (MSFT) | 0.079455 | -0.001628 |
| 20200228 | Microsoft Corp. (MSFT) | -0.045292 | -0.08411 |
| 20200331 | Microsoft Corp. (MSFT) | -0.026541 | -0.125119 |
| 20200430 | Microsoft Corp. (MSFT) | 0.136326 | 0.126844 |
| 20200529 | Microsoft Corp. (MSFT) | 0.025389 | 0.045282 |
| 20200630 | Microsoft Corp. (MSFT) | 0.110559 | 0.018388 |
| 20200731 | Microsoft Corp. (MSFT) | 0.007371 | 0.055101 |
| 20200831 | Microsoft Corp. (MSFT) | 0.10258 | 0.070065 |
| 20200930 | Microsoft Corp. (MSFT) | -0.067397 | -0.039228 |
| 20201030 | Microsoft Corp. (MSFT) | -0.03737 | -0.027666 |
| 20201130 | Microsoft Corp. (MSFT) | 0.060058 | 0.107546 |
| 20201231 | Microsoft Corp. (MSFT) | 0.039006 | 0.037121 |
| 20160129 | Caterpillar Inc. (CAT) | -0.072837 | -0.050735 |
| 20160229 | Caterpillar Inc. (CAT) | 0.087725 | -0.004128 |
| 20160331 | Caterpillar Inc. (CAT) | 0.130576 | 0.065991 |
| 20160429 | Caterpillar Inc. (CAT) | 0.025477 | 0.002699 |
| 20160531 | Caterpillar Inc. (CAT) | -0.067035 | 0.015329 |
| 20160630 | Caterpillar Inc. (CAT) | 0.045511 | 0.000906 |
| 20160729 | Caterpillar Inc. (CAT) | 0.101834 | 0.03561 |
| 20160831 | Caterpillar Inc. (CAT) | -0.009787 | -0.001219 |
| 20160930 | Caterpillar Inc. (CAT) | 0.083221 | -0.001234 |
| 20161031 | Caterpillar Inc. (CAT) | -0.051143 | -0.019426 |
| 20161130 | Caterpillar Inc. (CAT) | 0.14498 | 0.034174 |
| 20161230 | Caterpillar Inc. (CAT) | -0.02951 | 0.018201 |
| 20170131 | Caterpillar Inc. (CAT) | 0.039789 | 0.017884 |
| 20170228 | Caterpillar Inc. (CAT) | 0.010454 | 0.037198 |
| 20170331 | Caterpillar Inc. (CAT) | -0.040348 | -0.000389 |
| 20170428 | Caterpillar Inc. (CAT) | 0.110716 | 0.009091 |
| 20170531 | Caterpillar Inc. (CAT) | 0.030999 | 0.011576 |
| 20170630 | Caterpillar Inc. (CAT) | 0.019254 | 0.004814 |
| 20170731 | Caterpillar Inc. (CAT) | 0.067653 | 0.019349 |
| 20170831 | Caterpillar Inc. (CAT) | 0.031066 | 0.000546 |
| 20170929 | Caterpillar Inc. (CAT) | 0.061452 | 0.019303 |
| 20171031 | Caterpillar Inc. (CAT) | 0.095181 | 0.022188 |
| 20171130 | Caterpillar Inc. (CAT) | 0.039396 | 0.028083 |
| 20171229 | Caterpillar Inc. (CAT) | 0.116401 | 0.009832 |
| 20180131 | Caterpillar Inc. (CAT) | 0.037949 | 0.056179 |
| 20180228 | Caterpillar Inc. (CAT) | -0.050068 | -0.038947 |
| 20180329 | Caterpillar Inc. (CAT) | -0.046886 | -0.026885 |
| 20180430 | Caterpillar Inc. (CAT) | -0.015199 | 0.002719 |
| 20180531 | Caterpillar Inc. (CAT) | 0.0523 | 0.021608 |
| 20180629 | Caterpillar Inc. (CAT) | -0.106905 | 0.004842 |
| 20180731 | Caterpillar Inc. (CAT) | 0.066264 | 0.036022 |
| 20180831 | Caterpillar Inc. (CAT) | -0.034423 | 0.030263 |
| 20180928 | Caterpillar Inc. (CAT) | 0.098235 | 0.004294 |
| 20181031 | Caterpillar Inc. (CAT) | -0.198767 | -0.069403 |
| 20181130 | Caterpillar Inc. (CAT) | 0.118282 | 0.017859 |
| 20181231 | Caterpillar Inc. (CAT) | -0.063389 | -0.091777 |
| 20190131 | Caterpillar Inc. (CAT) | 0.054694 | 0.078684 |
| 20190228 | Caterpillar Inc. (CAT) | 0.031391 | 0.029729 |
| 20190329 | Caterpillar Inc. (CAT) | -0.01347 | 0.017924 |
| 20190430 | Caterpillar Inc. (CAT) | 0.035353 | 0.039313 |
| 20190531 | Caterpillar Inc. (CAT) | -0.140654 | -0.065778 |
| 20190628 | Caterpillar Inc. (CAT) | 0.137551 | 0.06893 |
| 20190731 | Caterpillar Inc. (CAT) | -0.026341 | 0.013128 |
| 20190830 | Caterpillar Inc. (CAT) | -0.096225 | -0.018092 |
| 20190930 | Caterpillar Inc. (CAT) | 0.061429 | 0.017181 |
| 20191031 | Caterpillar Inc. (CAT) | 0.099121 | 0.020432 |
| 20191129 | Caterpillar Inc. (CAT) | 0.05029 | 0.034047 |
| 20191231 | Caterpillar Inc. (CAT) | 0.020383 | 0.02859 |
| 20200131 | Caterpillar Inc. (CAT) | -0.103602 | -0.001628 |
| 20200228 | Caterpillar Inc. (CAT) | -0.05413 | -0.08411 |
| 20200331 | Caterpillar Inc. (CAT) | -0.066001 | -0.125119 |
| 20200430 | Caterpillar Inc. (CAT) | 0.011806 | 0.126844 |
| 20200529 | Caterpillar Inc. (CAT) | 0.032222 | 0.045282 |
| 20200630 | Caterpillar Inc. (CAT) | 0.053026 | 0.018388 |
| 20200731 | Caterpillar Inc. (CAT) | 0.058577 | 0.055101 |
| 20200831 | Caterpillar Inc. (CAT) | 0.070966 | 0.070065 |
| 20200930 | Caterpillar Inc. (CAT) | 0.048064 | -0.039228 |
| 20201030 | Caterpillar Inc. (CAT) | 0.059873 | -0.027666 |
| 20201130 | Caterpillar Inc. (CAT) | 0.105317 | 0.107546 |
| 20201231 | Caterpillar Inc. (CAT) | 0.048563 | 0.037121 |
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