Question 1: Below are the monthly returns for the stocks

ABL and HT as well as the returns on the

market

ABL's returns: (7.5%, 3.3%, -3.3%, 8.5%, 0.5%, 1.3%,-1.5%, 1.9%, 21.2%, -3.7%, -1.8%, 2.5%)

HHT's returns: (4.5%, -4.9%, 4.7%, 4.4%, -0.8%, -4.5%,0.1%, 3.7%, -6.2%, -1.2%, 0.9%, 18.3%)

The market returns were: (1.6%, -6.8%, 4.7%, 7.5%

-0.1%, -0.9%, 3.5%, -6.1%, -1.4%, 1.8%, 2.2%, 9.2%)

PLEASE USE EXCEL SHEET TO PROVIDE ANSWERS

Using the information above, perform each of the

following tasks:

a) Compute the first four moments (mean, standard

deviation, skew, kurtosis) for the returns for ABL

use stdev/skew/kurt in excel

b) Compute the geo-metric average return for HHT in

excel

c) Compute the correlation between the returns of ABL

and HTT in excel

d) Compute the standard deviation and Sharpe ratio for a

portfolio that has 40% of funds invested in

ABL and the remainder in HT if the risk-free rate is 0.17%

per year in excel

e) Find the beta for ABL and HHT. Which stock of the two is more defensive? (teacher said to directly use slope of ABL and HHT in excel to interpret which beta is more defensive)