(The time-series of returns) In the Excel spreadsheet PS1_Q1_raw.xlsx, I provide you three time-series: the performance...
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(The time-series of returns) In the Excel spreadsheet "PS1_Q1_raw.xlsx," I provide you three time-series: the performance index of selling S&P 500 put options from Bloomberg (Put Selling), the S&P 500 index (SP500), and the S&P 500 total return index (SP500_TR). You will work on this spreadsheet to solve the following problems. Always round off your answers to two decimal place. (a) Calculate the monthly returns for the three indices (don't report these return series). Then fill out the following table: Monthly Returns Put Selling S&P 500 S&P 500 total return ) sample estimators for: ER SDIR] Skew[R] Kurt[R] I Note 1: report E[Re]-and SD [Re] in percentage points; estimate E[Re] using the arithmetic average return r. Note 2: since the Excel function KURT gives excess kurtosis, you should add 3 to the Excel output when filling in the kurtosis estimates into the table. Note 3: the numbers from my slides are calculated from data for a different time period, don't copy them! Put Selling SP500 175.92 200.19 228.5 244.71 286.01 332.93 425.09 503.91 609.8 689.44 616.15 563.31 685.97 751 12/30/2005 801.42 12/29/2006 922.88 12/31/2007 1010.61 12/31/2008 740.1 12/31/2009 973.28 12/31/2010 1061.04 12/30/2011 1126.54 12/31/2012 1218.24 12/31/2013 1367.79 12/31/2014 1455.01 12/31/2015 1548.16 12/30/2016 1668.39 Date 12/31/1991 12/31/1992 12/31/1993 12/30/1994 12/29/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/29/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/29/2017 12/31/2018 1849.34 1739.67 12/31/2019 1974.62 12/31/2020 2016.7 12/31/2021 2456.08 12/30/2022 2267.98 417.09 479.63 435.71 516.18 466.45 568.2 459.27 575.7 615.93 792.04 740.74 973.9 970.43 1298.82 1229.23 1670.01 1469.25 2021.4 1320.28 1837.37 1618.98 1261.18 1622.94 1799.55 1148.08 879.82 1111.92 1211.92 1248.29 1418.3 1468.36 903.25 1115.1 1257.64 1257.61 1426.19 1848.36 2058.9 2043.94 2238.83 2673.61 2506.85 SP500 TR 3230.78 3756.07 4766.18 3839.5 1887.94 2186.13 2306.23 1452.98 1837.5 2114.29 2158.94 2504.44 3315.59 3769.44 3821.6 4278.66 5212.76 4984.22 6553.57 7759.35 9986.7 8178.02 (The time-series of returns) In the Excel spreadsheet "PS1_Q1_raw.xlsx," I provide you three time-series: the performance index of selling S&P 500 put options from Bloomberg (Put Selling), the S&P 500 index (SP500), and the S&P 500 total return index (SP500_TR). You will work on this spreadsheet to solve the following problems. Always round off your answers to two decimal place. (a) Calculate the monthly returns for the three indices (don't report these return series). Then fill out the following table: Monthly Returns Put Selling S&P 500 S&P 500 total return ) sample estimators for: ER SDIR] Skew[R] Kurt[R] I Note 1: report E[Re]-and SD [Re] in percentage points; estimate E[Re] using the arithmetic average return r. Note 2: since the Excel function KURT gives excess kurtosis, you should add 3 to the Excel output when filling in the kurtosis estimates into the table. Note 3: the numbers from my slides are calculated from data for a different time period, don't copy them! Put Selling SP500 175.92 200.19 228.5 244.71 286.01 332.93 425.09 503.91 609.8 689.44 616.15 563.31 685.97 751 12/30/2005 801.42 12/29/2006 922.88 12/31/2007 1010.61 12/31/2008 740.1 12/31/2009 973.28 12/31/2010 1061.04 12/30/2011 1126.54 12/31/2012 1218.24 12/31/2013 1367.79 12/31/2014 1455.01 12/31/2015 1548.16 12/30/2016 1668.39 Date 12/31/1991 12/31/1992 12/31/1993 12/30/1994 12/29/1995 12/31/1996 12/31/1997 12/31/1998 12/31/1999 12/29/2000 12/31/2001 12/31/2002 12/31/2003 12/31/2004 12/29/2017 12/31/2018 1849.34 1739.67 12/31/2019 1974.62 12/31/2020 2016.7 12/31/2021 2456.08 12/30/2022 2267.98 417.09 479.63 435.71 516.18 466.45 568.2 459.27 575.7 615.93 792.04 740.74 973.9 970.43 1298.82 1229.23 1670.01 1469.25 2021.4 1320.28 1837.37 1618.98 1261.18 1622.94 1799.55 1148.08 879.82 1111.92 1211.92 1248.29 1418.3 1468.36 903.25 1115.1 1257.64 1257.61 1426.19 1848.36 2058.9 2043.94 2238.83 2673.61 2506.85 SP500 TR 3230.78 3756.07 4766.18 3839.5 1887.94 2186.13 2306.23 1452.98 1837.5 2114.29 2158.94 2504.44 3315.59 3769.44 3821.6 4278.66 5212.76 4984.22 6553.57 7759.35 9986.7 8178.02
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Sample Estimators for Monthly Returns Index ER SDR SkewR KurtR Put Selling 092 478 057 534 SP 500 0... View the full answer
Related Book For
Managerial Economics
ISBN: 978-0133020267
7th edition
Authors: Paul Keat, Philip K Young, Steve Erfle
Posted Date:
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