Question
Please, use excel to answer the question. I also want to have the excel formula Microsoft Returns Coke Returns IBM Returns Pepsi Apple Sony Morgan
Please, use excel to answer the question. I also want to have the excel formula
Microsoft Returns | Coke Returns | IBM Returns | Pepsi | Apple | Sony | Morgan Stanley | CRSP market | S&P 500 | rf |
0.02765 | -0.04348 | -0.02706 | 0.003745 | -0.01191 | -0.02318 | -0.01951 | 0.04488 | 0.040432 | 0.0029 |
0.065022 | 0.157727 | 0.055395 | 0.059701 | 0.038072 | 0.044068 | 0.168657 | 0.051695 | 0.041817 | 0.0046 |
-0.04842 | 0.148515 | -0.08404 | -0.0093 | -0.06977 | 0.088736 | 0.055556 | -0.0166 | -0.03334 | 0.0044 |
-0.0354 | 0.051724 | 0.053426 | -0.00714 | 0.025 | 0.05988 | 0.106883 | 0.010991 | 0.009425 | 0.0046 |
0.06422 | -0.03377 | 0.001985 | 0.043165 | 0.014146 | -0.0678 | -0.08624 | 0.000448 | 0.003176 | 0.0051 |
0.155172 | 0.162393 | 0.132222 | 0.033379 | 0.114458 | -0.04546 | 0.2751 | 0.05146 | 0.043256 | 0.0049 |
-0.11194 | -0.03677 | -0.01276 | -0.0302 | -0.04054 | 0.333333 | 0.004724 | -0.00727 | -0.00541 | 0.0051 |
-0.15966 | -0.10779 | -0.10457 | -0.00692 | -0.09961 | -0.08571 | -0.01572 | -0.02801 | -0.0386 | 0.0059 |
0.045 | 0.060345 | 0.034753 | 0.09993 | 0.084639 | 0.019449 | -0.0032 | 0.037202 | 0.039729 | 0.0062 |
-0.0622 | -0.11382 | 0.062839 | 0.057325 | -0.10694 | -0.01795 | 0.051282 | 0.017637 | 0.025964 | 0.0061 |
-0.03571 | -0.04697 | -0.02467 | -0.01506 | -0.0233 | 0.143603 | -0.0367 | -0.01641 | -0.01889 | 0.0057 |
0.126984 | 0 | 0.028481 | -0.0285 | 0.069767 | 0.057078 | 0.053968 | 0.021075 | 0.014688 | 0.0063 |
0.119718 | 0.097087 | 0.071795 | 0.031646 | -0.06211 | -0.03672 | 0.078313 | 0.066103 | 0.071115 | 0.0055 |
-0.0021 | -0.02761 | -0.06144 | -0.01841 | -0.03709 | -0.02018 | 0.032402 | -0.01645 | -0.02894 | 0.0061 |
-0.16177 | -0.0367 | -0.10185 | 0.11775 | -0.01724 | -0.0635 | 0.00611 | 0.021465 | 0.020806 | 0.0067 |
0.120301 | 0.019048 | 0.044674 | 0.070225 | 0.094737 | -0.02451 | -0.05506 | 0.048204 | 0.05009 | 0.0067 |
0.082774 | 0.139065 | -0.02776 | 0.136483 | 0.226923 | 0.08794 | 0.137634 | 0.039338 | 0.035138 | 0.0079 |
-0.12397 | 0.057851 | 0.020525 | -0.01155 | -0.13613 | -0.0254 | -0.01701 | -0.00487 | -0.00793 | 0.0071 |
0.033019 | -0.04688 | 0.027933 | 0.166667 | -0.03636 | 0.092417 | 0.11 | 0.077131 | 0.08837 | 0.007 |
0.073059 | -0.08705 | 0.029 | -0.0503 | 0.122013 | 0.045553 | 0.062609 | 0.022127 | 0.015517 | 0.0074 |
Assume Normal distribution for all stocks monthly returns. i) For each stock estimate the method of moments estimators for mean and volatility of the monthly returns. ii) Estimate the second and third moments of each stocks monthly returns. iii) You are a fund manager who only is concerned with making sure that the probability of negative returns is below -25%. Which stocks meet this criterion? iv) A common measure of a stocks risk return tradeoff is the Sharpe Ratio, defined as expected excess return (in excess of the risk-free rate), divided by standard deviation. Rank the stocks in terms of Sharpe ratios. Which of the stocks is optimal according to the Sharpe ratio. v) for each stock, calculate the probability of returns below -25% given that returns are negative.
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