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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

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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