GUIDELINES

The format of your report should be professional looking. Make sure to include your name, page number, etc. Keep it concise yet descriptive. Report should be typed and excel file should be sentwith your report.

Before starting your assignment, please read and follow the case grading rubric (Appendix II) and make sure you have all the criteria in your report.

ANALYSIS OF HISTORICAL DATA

You will find historical data (rates of return) for major assetsclasses from 1927-2016. (Stock, Market Index, and T-bills) in the Excel Spreadsheet that provided to you.

You need to analysis the following steps:

Part A: Calculate the followings statistics for stock, market index, and T-bills during period 1927-2016 using the Excel functions.

1. Average return

2. Variance

3. Standard deviation

Part B: Calculate the following statistics for each subperiodusing the Excel functions.

1. For 1927-2016 period, average return, standard deviation, correlation , and Beta

2. For 1927-1956 period, average return, standard deviation, correlation, and Beta

3. For 1957-1987 period, average return, standard deviation, correlation, and Beta

4. For 1988-2016 period, average return, standard deviation, correlation, and Beta

Part C: Calculate the expected rate of return from CAPM for each period by using the Betas that you calculate in Part B.

Part D: Based on your calculation in Part A, B, and C,answer the following questions.

1. How stable Beta for each subperiod? Explain?

2. If it does, why expected rates of return from CAPM changessignificantly from period to period? Why?

Part E: Summary

Summarize what you learned from the history based on your analysis?