Question

1 Approved Answer

Posted on Jul 17, 2024

Discuss your findings. This should include: A discussion of the main statistics, such as the expected return for each stock, the standard deviation for each

image text in transcribed Discuss your findings. This should include:

A discussion of the main statistics, such as
- the expected return for each stock,
- the standard deviation for each stock, the expected return of the portfolio of the two stocks you selected using the various percentages allocated to each (50%-50%, 75%-25%, 25%-75%) provided in the sheet,
- the standard deviation for each portfolio of the two stocks you selected using the various percentages allocated to each (50%-50%, 75%-25%, 25%-75%),
- the beta of each stock,
- the beta of a portfolio of the two stocks using the percentages allocated to each (50%-50%, 75%-25%, 25%-75%).
Be sure to discuss some of the key concepts too (e.g., point out the standard deviation of the portfolio is less than the weighted average of the standard deviations of the stocks in the portfolio)
Compute the coefficient of variation for the three different allocations
- Which of the three (i.e., the 50-50%, 75-25%, or 25-75%) offers the best risk-return profile?

H M N RET SPY Samsung RET Sony RET Change Stock 1 and Stock 2 with your ticker symbols Stock 1 ret Method 1 -0.06 Method 2 -0.06 Beta Stock 1 Avg. Daily Ret Daily Std. Deviation Daily Variance SPY 0.00070 0.02071 0.00043 0.000747 0.02014 0.00041 Stock 2 ret 0.00129 0.02030 0.00041 Beta Stock 2 0.78 0.78 SPY-Stock 1 -0.06521 SPY-AMAT 0.79897 ABC-AMAT -0.00916 Correlation coefficient Annual Return Annual Std. Deviation SPY 0.176808519 0.328793724 ABC 0.186509611 0.319720845 AMAT 0.325447796 0.322204353 SPY-Stock 1 0.181659065 SPY-Stock 2 0.251128158 Expected return portfolio Std. Deviation portfolio Stock 1 - Stock 2 0.255978703 0.22591437 50%/50% 0.500 SPY-Stock 1 0.199026338 SPY-Stock 2 0.200238974 A Date 9/30/20 10/1/19 10/2/19 10/3/19 10/4/19 10/7/19 10/8/19 10/9/19 10/10/19 10/11/19 10/14/19 10/15/19 10/16/19 10/17/19 10/18/19 10/21/19 10/22/19 10/23/19 10/24/19 10/25/19 10/28/19 10/29/19 10/30/19 10/31/19 11/1/19 11/4/19 11/5/19 11/6/19 11/7/19 11/8/19 11/11/19 11/12/19 11/13/19 11/14/19 11/15/19 11/18/19 11/19/19 11/20/19 Expected return portfolio Std. Deviation portfolio -0.012 -0.018 0.008 0.014 -0.004 -0.016 0.009 0.007 0.010 -0.001 0.010 -0.002 0.003 -0.004 0.007 -0.003 0.003 0.002 0.004 0.006 0.000 0.003 -0.003 0.009 0.004 -0.001 0.000 0.004 0.002 -0.002 0.002 0.000 0.001 0.007 0.001 0.000 -0.004 Stock 1 - Stock 2 0.252340794 0.25225791 -0.0041 -0.0256 0.0084 -0.0052 0.0241 -0.0072 0.0124 0.0173 0.0020 0.0120 -0.0039 -0.0119 0.0080 0.0179 0.0000 -0.0098 0.0039 0.0079 -0.0039 -0.0137 0.0000 0.0159 0.0215 0.0076 0.0114 -0.0075 -0.0151 -0.0096 0.0194 -0.0019 -0.0017 -0.0119 -0.0037 0.0000 -0.0280 -0.0192 0.01.18 75%/25% 0.75 0.25 -0.020 -0.019 0.019 0.014 -0.012 -0.015 0.012 -0.009 0.014 -0.005 0.011 0.007 0.019 -0.014 -0.001 -0.004 -0.007 0.001 -0.002 0.009 0.003 0.031 -0.004 0.010 0.002 -0.002 -0.012 -0.005 0.000 0.022 0.007 0.003 -0.007 0.003 0.006 -0.009 -0.007 SPY-Stock 1 0.199632656 SPY-Stock 2 0.225683566 25%/75% 0.25 0.75 Expected return portfolio Std. Deviation portfolio Stock 1 - Stock 2 0.226289884 0.25383295 Part 3 Findings H M N RET SPY Samsung RET Sony RET Change Stock 1 and Stock 2 with your ticker symbols Stock 1 ret Method 1 -0.06 Method 2 -0.06 Beta Stock 1 Avg. Daily Ret Daily Std. Deviation Daily Variance SPY 0.00070 0.02071 0.00043 0.000747 0.02014 0.00041 Stock 2 ret 0.00129 0.02030 0.00041 Beta Stock 2 0.78 0.78 SPY-Stock 1 -0.06521 SPY-AMAT 0.79897 ABC-AMAT -0.00916 Correlation coefficient Annual Return Annual Std. Deviation SPY 0.176808519 0.328793724 ABC 0.186509611 0.319720845 AMAT 0.325447796 0.322204353 SPY-Stock 1 0.181659065 SPY-Stock 2 0.251128158 Expected return portfolio Std. Deviation portfolio Stock 1 - Stock 2 0.255978703 0.22591437 50%/50% 0.500 SPY-Stock 1 0.199026338 SPY-Stock 2 0.200238974 A Date 9/30/20 10/1/19 10/2/19 10/3/19 10/4/19 10/7/19 10/8/19 10/9/19 10/10/19 10/11/19 10/14/19 10/15/19 10/16/19 10/17/19 10/18/19 10/21/19 10/22/19 10/23/19 10/24/19 10/25/19 10/28/19 10/29/19 10/30/19 10/31/19 11/1/19 11/4/19 11/5/19 11/6/19 11/7/19 11/8/19 11/11/19 11/12/19 11/13/19 11/14/19 11/15/19 11/18/19 11/19/19 11/20/19 Expected return portfolio Std. Deviation portfolio -0.012 -0.018 0.008 0.014 -0.004 -0.016 0.009 0.007 0.010 -0.001 0.010 -0.002 0.003 -0.004 0.007 -0.003 0.003 0.002 0.004 0.006 0.000 0.003 -0.003 0.009 0.004 -0.001 0.000 0.004 0.002 -0.002 0.002 0.000 0.001 0.007 0.001 0.000 -0.004 Stock 1 - Stock 2 0.252340794 0.25225791 -0.0041 -0.0256 0.0084 -0.0052 0.0241 -0.0072 0.0124 0.0173 0.0020 0.0120 -0.0039 -0.0119 0.0080 0.0179 0.0000 -0.0098 0.0039 0.0079 -0.0039 -0.0137 0.0000 0.0159 0.0215 0.0076 0.0114 -0.0075 -0.0151 -0.0096 0.0194 -0.0019 -0.0017 -0.0119 -0.0037 0.0000 -0.0280 -0.0192 0.01.18 75%/25% 0.75 0.25 -0.020 -0.019 0.019 0.014 -0.012 -0.015 0.012 -0.009 0.014 -0.005 0.011 0.007 0.019 -0.014 -0.001 -0.004 -0.007 0.001 -0.002 0.009 0.003 0.031 -0.004 0.010 0.002 -0.002 -0.012 -0.005 0.000 0.022 0.007 0.003 -0.007 0.003 0.006 -0.009 -0.007 SPY-Stock 1 0.199632656 SPY-Stock 2 0.225683566 25%/75% 0.25 0.75 Expected return portfolio Std. Deviation portfolio Stock 1 - Stock 2 0.226289884 0.25383295 Part 3 Findings