5 You are given the following information on the S&P 500 and the stock price of ABC Corporation Calculate the following metrics. a Average annual return for each b. Average annual standard deviation for each c. Minimum monthly return d. Maximum monthly return e Correlation between the market and ABC corporation Beta calculated using the correlation coefficient & standard deviation formula ABC Month March 2012 February 2012 January 2012 December 2011 November 2011 October 2011 September 2011 August 2011 July 2011 June 2011 May 2011 April 2011 March 2011 February 2011 January 2011 December 2010 November 2010 October 2010 September 2010 August 2010 July 2010 June 2010 May 2010 April 2010 March 2010 February 2010 January 2010 December 2009 November 2009 October 2009 September 2009 August 2009 July 2009 June 2009 May 2009 April 2009 March 2009 February 2009 January 2009 December 2008 November 2008 October 2008 September 2008 August 2008 July 2008 June 2008 May 2008 April 2008 March 2008 Answers Description of Data Market a. Average return (annual): b. Standard deviation (annual c. Minimum monthly return; d. Maximum monthly return: e. Correlation between ABC and the market Beta: ..........lou) Market Level (S&P 500 Index) at Month End 1.408.47 1,365.68 1,312.41 1,257.60 1,246.96 1,253.30 1,131.42 1,218.89 1,292 28 1,320.64 1,345.20 1,363.61 1,325.83 1,327 22 1,286.12 1,257,64 1,180.55 1,183.26 1,141.20 1,040.33 1,101.60 1,030.71 1,089.41 1.186.69 1,100 43 1,104.49 1,073.87 1,115.10 1,005.63 1,036.10 1,057.00 1,020.62 987.48 919.32 919.14 872.81 797.87 735.09 825.88 903. 25 896.24 968.7 1,166.36 1,282.83 1,267.38 1,280.00 1,400.38 1,385.59 1.322.70 ABC Stock Price at Month End $51.37 $52.99 $63.41 $46.55 $51.22 $51.42 $50.51 $52.42 $47.55 $52.64 $54,16 $59.01 $54,48 $49.88 $51.15 $46.67 $41.74 $48.36 $43.43 $46.07 $41.98 $44,39 $38.39 $49.33 $44.91 $49.70 Market's Return 3.1% 4.1% 4.4% 0.9% -0.5% 10.8% -7.2% 5.7% -2.1% -1.8% -1.4% 2.8% -0.1% 3.2% 2.3% 6.5% -0.2% 3.7% 8.8% 4.7% 6.9% -5.4% 8.2% 1.5% 5.9% 2.9% 3.7% 1.8% 5.7% -2.0% 3.0% 3.4% 7.4% 0.0% 5.3% 9.4% 8.5% -11.0% -8.6% 0.8% -7.5% -16.9% -9.1% 1.2% -1.0% -8.6% 1.1% 4.8% NA ABC's Return 3.1% -0.8% 14.7% -9.1% -0.4% 1.8% -3.6% 10.2% -9.7% 2.8% -8.2% 8.3% 9.2% -2.5% 9.6% 11.8% -13.7% 11.3% -8.7% 9.8% -5.4% 15.0% 22.2% 9.8% -9.6% 4.0% 3.7% 14.0% -9.3% 11.3% -2.4% 11.6% -17.9% 8.1% 2.9% 23.4% 1.9% -18.2% 4.9% 16.4% -16.4% 6% -16.2% 18.9% 8.8% -7.3% -9.7% 11.6% NA 147.79 $46.10 $40.44 $44.58 $40.05 $41.03 $36.78 $44.82 $41.47 $40.31 $32.65 $32.03 $39.17 $41.19 $35.37 $42.33 $43.47 $51.88 $43.63 $46.82 $50.52 $55.93 S50,10 5 You are given the following information on the S&P 500 and the stock price of ABC Corporation Calculate the following metrics. a Average annual return for each b. Average annual standard deviation for each c. Minimum monthly return d. Maximum monthly return e Correlation between the market and ABC corporation Beta calculated using the correlation coefficient & standard deviation formula ABC Month March 2012 February 2012 January 2012 December 2011 November 2011 October 2011 September 2011 August 2011 July 2011 June 2011 May 2011 April 2011 March 2011 February 2011 January 2011 December 2010 November 2010 October 2010 September 2010 August 2010 July 2010 June 2010 May 2010 April 2010 March 2010 February 2010 January 2010 December 2009 November 2009 October 2009 September 2009 August 2009 July 2009 June 2009 May 2009 April 2009 March 2009 February 2009 January 2009 December 2008 November 2008 October 2008 September 2008 August 2008 July 2008 June 2008 May 2008 April 2008 March 2008 Answers Description of Data Market a. Average return (annual): b. Standard deviation (annual c. Minimum monthly return; d. Maximum monthly return: e. Correlation between ABC and the market Beta: ..........lou) Market Level (S&P 500 Index) at Month End 1.408.47 1,365.68 1,312.41 1,257.60 1,246.96 1,253.30 1,131.42 1,218.89 1,292 28 1,320.64 1,345.20 1,363.61 1,325.83 1,327 22 1,286.12 1,257,64 1,180.55 1,183.26 1,141.20 1,040.33 1,101.60 1,030.71 1,089.41 1.186.69 1,100 43 1,104.49 1,073.87 1,115.10 1,005.63 1,036.10 1,057.00 1,020.62 987.48 919.32 919.14 872.81 797.87 735.09 825.88 903. 25 896.24 968.7 1,166.36 1,282.83 1,267.38 1,280.00 1,400.38 1,385.59 1.322.70 ABC Stock Price at Month End $51.37 $52.99 $63.41 $46.55 $51.22 $51.42 $50.51 $52.42 $47.55 $52.64 $54,16 $59.01 $54,48 $49.88 $51.15 $46.67 $41.74 $48.36 $43.43 $46.07 $41.98 $44,39 $38.39 $49.33 $44.91 $49.70 Market's Return 3.1% 4.1% 4.4% 0.9% -0.5% 10.8% -7.2% 5.7% -2.1% -1.8% -1.4% 2.8% -0.1% 3.2% 2.3% 6.5% -0.2% 3.7% 8.8% 4.7% 6.9% -5.4% 8.2% 1.5% 5.9% 2.9% 3.7% 1.8% 5.7% -2.0% 3.0% 3.4% 7.4% 0.0% 5.3% 9.4% 8.5% -11.0% -8.6% 0.8% -7.5% -16.9% -9.1% 1.2% -1.0% -8.6% 1.1% 4.8% NA ABC's Return 3.1% -0.8% 14.7% -9.1% -0.4% 1.8% -3.6% 10.2% -9.7% 2.8% -8.2% 8.3% 9.2% -2.5% 9.6% 11.8% -13.7% 11.3% -8.7% 9.8% -5.4% 15.0% 22.2% 9.8% -9.6% 4.0% 3.7% 14.0% -9.3% 11.3% -2.4% 11.6% -17.9% 8.1% 2.9% 23.4% 1.9% -18.2% 4.9% 16.4% -16.4% 6% -16.2% 18.9% 8.8% -7.3% -9.7% 11.6% NA 147.79 $46.10 $40.44 $44.58 $40.05 $41.03 $36.78 $44.82 $41.47 $40.31 $32.65 $32.03 $39.17 $41.19 $35.37 $42.33 $43.47 $51.88 $43.63 $46.82 $50.52 $55.93 S50,10