Below you will find annual return data for six furniture companies for the years 2010–2020. Use these data to calculate the variance-covariance matrix of the returns.

The remaining exercises refer to the data in the tab Price data on the exercise spreadsheet that you’ll find on the auxiliary website accompanying this book. This tab gives three years of price data for six stocks and the Standard & Poor’s 500 as a surrogate for the market.

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A B 1 CD DATA FOR 6 FURNITURE COMPANIES G H 2 A B C D E F 3 2010 36.67% 41.54% 4 2011 122.82% 0.20% 21.92% 61.43% 195.09% 62.27% 26.13% 22.50% 73.38% 117.89% 5 2012 14.44% 63.51% 38.38% -1.27% 45.15% 7.80% 6 2013 21.39% 28.42% 1.30% 81.17% 24.27% 38.14% 7 2014 45.36% -7.44% 21.89% 8 2015 20.19% 48.27% 19.83% 9.11% -10.21% -11.92% 10.73% 54.48% 26.82% 9 2016 8.94% 11.28% 12.65% 13.77% 7.06% -6.24% 10 2017 27.02% 12.85% 12.08% 32.55% -7.55% 123.03% 11 2018 -11.64% 2.42% -17.13% -6.48% 1.31% 15.48% 12 2019 20.29% 6.90% 3.62% 50.12% -5.54% 19.92% 13 2020 34.08% 22.21% 33.46% 84.40% 5.71% 62.76% 14 15 Beta 0.80 0.95 0.65 0.85 0.85 1.40 16 Mean returns 29.24% 20.68% 25.02% 31.64% 15.34% 43.87% AVERAGE(G3 G13)