(30 points) The focus of this problem is on the monthly rates of return on the stocks of five companies and the monthly rates of return on the S&P 500. The stocks and their ticker symbols are Apple (AAPL, communication devices), Alphabet (GOOGL, internet), Amgen (AMGN), biotechnology)), J.P. Morgan Chase (JPM, banking), and Exxon Mobil (XOM, energy). The returns run from January of 2012 through February of 2017, 62 months. Please do five things. For each of the companies, fill in the table below by (1) estimating the single-index model and checking the R-squared, alpha, and beta for statistical significance by using the F and t values, respectively; (2) computing the total risk, (3) determining an expected return for each company (a simple average will suffice); (4) calculating the expected return to beta; and (5) ranking the return-to-beta results from the highest value to the lowest value. Which of these stocks would you buy? Why?

Total Average Return to

Symbol R 2 F Alpha t Beta t Risk Return Beta

AAPL

AMGN

GOOGL

JPM

XOM

DATE	AAPL	AMGN	GOOGL	JPM	XOM
03-Jan-12	12.71	5.79	-10.19	12.99	-1.20
01-Feb-12	18.83	0.66	6.57	5.20	3.86
01-Mar-12	10.53	-0.06	3.72	17.18	0.27
02-Apr-12	-2.60	4.62	-5.67	-5.91	-0.45
01-May-12	-1.07	-1.74	-3.97	-22.87	-8.30
01-Jun-12	1.09	4.88	-0.14	7.78	8.83
02-Jul-12	4.58	13.29	9.12	1.60	1.50
01-Aug-12	9.39	2.04	8.23	3.17	1.17
04-Sep-12	0.28	0.44	10.13	8.99	4.75
01-Oct-12	-10.76	2.61	-9.83	3.72	-0.31
01-Nov-12	-1.24	3.10	2.66	-1.44	-2.72
03-Dec-12	-9.07	-2.93	1.29	7.04	-1.80
02-Jan-13	-14.41	-0.86	6.83	7.74	3.95
01-Feb-13	-2.53	7.71	6.02	3.97	0.17
01-Mar-13	0.29	11.97	-0.87	-2.98	0.63
01-Apr-13	0.03	1.66	3.83	3.91	-1.24
01-May-13	2.24	-3.11	5.66	11.39	2.37
03-Jun-13	-11.83	-1.86	1.05	-3.30	-0.13
01-Jul-13	14.12	9.76	0.84	6.34	3.76
01-Aug-13	8.38	1.04	-4.60	-9.33	-6.39
03-Sep-13	-2.15	2.74	3.43	2.30	-1.29
01-Oct-13	9.64	3.77	17.66	0.44	4.16
01-Nov-13	7.01	-1.36	2.81	11.02	5.02
02-Dec-13	0.89	0.00	5.77	2.20	8.26
02-Jan-14	-10.77	4.27	5.38	-4.72	-8.93
03-Feb-14	5.75	4.79	2.94	2.64	5.20
03-Mar-14	2.00	-0.55	-8.32	6.85	1.46
01-Apr-14	9.94	-9.40	-4.11	-7.21	4.84
01-May-14	7.87	4.36	6.87	-0.73	-1.17
02-Jun-14	2.77	2.05	2.28	3.69	0.15
01-Jul-14	2.87	7.62	-0.88	0.79	-1.73
01-Aug-14	7.75	9.94	0.48	3.09	1.23
02-Sep-14	-1.71	0.77	1.04	1.33	-5.44
01-Oct-14	7.20	15.46	-3.49	1.07	2.83
03-Nov-14	10.60	2.32	-3.31	-0.53	-5.70
01-Dec-14	-7.19	-3.64	-3.35	4.02	2.11
02-Jan-15	6.14	-4.41	1.30	-12.54	-5.44
02-Feb-15	10.08	4.13	4.67	12.69	2.04
02-Mar-15	-3.14	1.35	-1.41	-1.14	-4.00
01-Apr-15	0.58	-1.21	-1.07	5.12	2.79
01-May-15	4.53	-0.56	-0.63	3.98	-1.68
01-Jun-15	-3.72	-1.75	-0.97	3.01	-2.35
01-Jul-15	-3.29	15.03	21.75	1.80	-4.80
03-Aug-15	-6.62	-13.65	-1.47	-6.46	-4.12
01-Sep-15	-2.18	-8.87	-1.46	-4.88	-1.18
01-Oct-15	8.34	14.36	15.51	6.14	11.28
02-Nov-15	-0.58	2.36	3.45	3.78	-0.44
01-Dec-15	-11.02	0.76	1.99	-0.97	-4.54
04-Jan-16	-7.52	-5.91	-2.14	-9.28	-0.13
01-Feb-16	-0.13	-6.19	-5.80	-5.38	3.89
01-Mar-16	12.72	5.38	6.37	5.19	4.29
01-Apr-16	-13.99	5.58	-7.21	7.51	5.75
02-May-16	7.18	0.44	5.79	3.28	1.55
01-Jun-16	-4.27	-3.67	-6.05	-4.80	5.30
01-Jul-16	9.01	13.07	12.48	3.75	-5.11
01-Aug-16	2.37	-0.57	-0.19	5.52	-1.20
01-Sep-16	6.55	-1.91	1.80	-1.35	0.16
03-Oct-16	0.43	-15.38	0.73	4.77	-4.54
01-Nov-16	-2.16	2.75	-4.20	15.75	5.70
01-Dec-16	4.80	1.49	2.14	7.63	3.39
03-Jan-17	4.77	7.16	3.50	-1.38	-7.06
01-Feb-17	13.38	13.45	3.02	7.08	-2.18