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Question 1: You observed the following daily returns for two companies, ABC and XYZ ABC XYZ Mon 0.05 0.04 Tue 0.16 0.18 Wed 0.15 0.06
Question 1: You observed the following daily returns for two companies, ABC and XYZ | |||||
ABC | XYZ | ||||
Mon | 0.05 | 0.04 | |||
Tue | 0.16 | 0.18 | |||
Wed | 0.15 | 0.06 | |||
Thu | 0.03 | 0.12 | |||
Fri | 0.06 | 0.05 | |||
1) Calculation the following for each stock | |||||
a) 5 day Cumulative return | |||||
b) Geometric mean daily return | |||||
c) Arthemetic mean daily return | |||||
d) Std deviation of daily returns | |||||
e) Coefficient of variation | |||||
2) Calculate the covariance and correlation between the 2 stocks | |||||
a) Covariance | |||||
b) Correlation | |||||
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