ORTFOLIO: 10 PACKAGED FOOD STOC

PORTFOLIO: 10 PACKAGED FOOD STOCKS Market cap and value-weighted portfolio In the template for this exercises, you will find the data for 10 packaged food stocks. Run the template data. and find the portfolio statistics. Notice that while the portfolio R2 is higher than the weighted-average R2- the improvement is not as dramatic as that of the example in the text. What do you conclude? Market cap ($8) Weight in portfolio Cal-Maine Foods CALM 2.21 Cal-Maine Foods CALM Snack Foods JJSF 1.96 spsoo VFINX Rocky Mountain Chocalate R MCF 0.08 Rocky Mountain Chocalate R MCF Industrios Bachoco IBA 2.72 Hormel Foods HRL 14.57 Calavo Growers CVGW 0.87 Computirw the individual asset regressions Industrios Bachoco IBA Hormel Foods HRL Calavo Growers CVGW 11 Alpha Beta R-squared J.M. Sm ucker SJM 13.98 J.M. Sm ucker SJM SJM Mead Johnson Nutrition MIN 19.49 Johnson Nutrition MIN MIN Tootsie Roll Industries TR 1.89 Tootsie Roll Industries TR TR 3. Hershey Com pa ny HSY 20.67 Hershey Com pa ny HSY Average alpha 17 Average beta Average r-squared 21 Alpha Beta R-squared Date Regression of value-weighted portfolio Computing the returns VFINX CALM R MCF IBA HRL CVGW Snack Foods JJSF JJSF HSY Portfolio 31 37 41 51 57 61 1/Dec/09 4/Jan/10 1/Feb/101 1/Mar/10 1/Apr/10 3/May/10 1/Jun/101 1/Jul/10 2/Aug/10 1/Sep/10 1/0ct/101 1/Nov/10 1/Dec/10 3/Jan/11 1/Feb/11 1/Mar/11 1/Apr/11 2/May/11 1/Jun/11 1/Jul/11 1/Aug/11 1/Sep/11 3/0ct/11 1/Nov/11 1/Dec/11 3/Jan/12 1/Feb/12 1/Mar/12 2/Apr/12 1/May/12 1/Jun/12 2/Jul/12 1/Aug/12 4/Sep/12 1/0ct/12 1/Nov/12