Question
Rob McGowan collects data from General Motors, General Electric, Oracle, and Microsoft. His professor seeks to form a portfolio using these stocks. ? 1. Estimate
Rob McGowan collects data from General Motors, General Electric, Oracle, and Microsoft. His professor seeks to form a portfolio using these stocks. ?
1. Estimate and compare the monthly returns and variability (standard deviation) of each stock with that of the DJIA Index.
a) Which stock appears to be riskiest? Less risky?
b) How might the expected return of each stock relate to its riskiness?
Monthly Risk-Free rate (in percentages)
| 1997-06-01 | 4.93 |
| 1997-07-01 | 5.05 |
| 1997-08-01 | 5.14 |
| 1997-09-01 | 4.95 |
| 1997-10-01 | 4.97 |
| 1997-11-01 | 5.14 |
| 1997-12-01 | 5.16 |
| 1998-01-01 | 5.04 |
| 1998-02-01 | 5.09 |
| 1998-03-01 | 5.03 |
| 1998-04-01 | 4.95 |
| 1998-05-01 | 5.00 |
| 1998-06-01 | 4.98 |
| 1998-07-01 | 4.96 |
| 1998-08-01 | 4.90 |
| 1998-09-01 | 4.61 |
| 1998-10-01 | 3.96 |
| 1998-11-01 | 4.41 |
| 1998-12-01 | 4.39 |
| 1999-01-01 | 4.34 |
| 1999-02-01 | 4.44 |
| 1999-03-01 | 4.44 |
| 1999-04-01 | 4.29 |
| 1999-05-01 | 4.50 |
| 1999-06-01 | 4.57 |
| 1999-07-01 | 4.55 |
| 1999-08-01 | 4.72 |
| 1999-09-01 | 4.68 |
| 1999-10-01 | 4.86 |
| 1999-11-01 | 5.07 |
| 1999-12-01 | 5.20 |
| 2000-01-01 | 5.32 |
| 2000-02-01 | 5.55 |
| 2000-03-01 | 5.69 |
| 2000-04-01 | 5.66 |
| 2000-05-01 | 5.79 |
| 2000-06-01 | 5.69 |
| Month | Sale Date | GM | GE | Oracle | Microsoft | DJIA |
| 1 | 1-Jun-97 | -0.86995 | 10.49754 | 21.13459 | 2.77686 | 4.485357 |
| 2 | 1-Jul-97 | 1.710171 | 9.648689 | -0.91827 | 0.450306 | 5.939172 |
| 3 | 1-Aug-97 | 14.31172 | 5.415162 | 13.06766 | 12.58405 | 6.10839 |
| 4 | 1-Sep-97 | -2.62739 | -9.50521 | 4.180328 | -6.00114 | -6.97605 |
| 5 | 1-Oct-97 | 10.83401 | 9.592326 | -5.58615 | 1.270802 | 5.156892 |
| 6 | 1-Nov-97 | -1.20823 | -0.70022 | -0.33333 | 0.179265 | -4.25563 |
| 7 | 1-Dec-97 | -8.00688 | 10.23692 | -11.1204 | 7.217417 | 4.413641 |
| 8 | 1-Jan-98 | 6.896552 | -0.81103 | -30.0094 | -10.1252 | -1.30861 |
| 9 | 1-Feb-98 | -0.41824 | 8.503679 | 10.34946 | 19.83906 | 2.523061 |
| 10 | 1-Mar-98 | 17.14 | -2.52101 | -2.07065 | 7.592975 | 5.459818 |
| 11 | 1-Apr-98 | 2.11712 | 12.89185 | 30.0995 | 8.473356 | 3.717582 |
| 12 | 1-May-98 | 1.760057 | -0.41652 | -18.5468 | -0.84089 | 3.143211 |
| 13 | 1-Jun-98 | 3.741617 | -2.50618 | -10.7981 | -6.56104 | -2.45652 |
| 14 | 1-Jul-98 | -0.88465 | 10.02896 | 5.526316 | 30.61858 | 1.415543 |
| 15 | 1-Aug-98 | 3.833245 | -0.65811 | 10.72319 | -0.85939 | -2.89468 |
| 16 | 1-Sep-98 | -17.0466 | -7.60979 | -22.8604 | -6.63962 | -10.9177 |
| 17 | 1-Oct-98 | -4.77851 | -8.6357 | 31.38686 | 2.78546 | -2.48996 |
| 18 | 1-Nov-98 | 20.29924 | 17.07705 | 10.88889 | 1.691332 | 14.06637 |
| 19 | 1-Dec-98 | 10.07982 | 4.292582 | 23.34669 | 22.37762 | 4.909059 |
| 20 | 1-Jan-99 | 2.512648 | 11.95258 | 16.8156 | 7.088803 | 0.524331 |
| 21 | 1-Feb-99 | 30.48698 | 1.411765 | 37.06537 | 24.70436 | 1.789155 |
| 22 | 1-Mar-99 | -10.9758 | -1.23312 | -7.10299 | -12.2586 | -0.22385 |
| 23 | 1-Apr-99 | 5.181951 | 10.58264 | -29.4921 | 22.1695 | 5.444954 |
| 24 | 1-May-99 | 9.7295 | -4.24731 | 0.929512 | -13.8203 | 12.02318 |
| 25 | 1-Jun-99 | -8.76355 | -2.89773 | -2.14889 | -1.72759 | -3.79884 |
| 26 | 1-Jul-99 | -1.99462 | 8.718549 | 48.07843 | 16.16561 | 4.437037 |
| 27 | 1-Aug-99 | -8.50214 | -2.12594 | 0.95339 | -6.99638 | -3.79942 |
| 28 | 1-Sep-99 | 7.967033 | 5.396384 | -1.15425 | 8.925834 | 2.742073 |
| 29 | 1-Oct-99 | -4.35564 | 3.246239 | 20.11677 | -2.59796 | -6.07869 |
| 30 | 1-Nov-99 | 10.44177 | 11.29857 | 13.07998 | 2.667259 | 3.655407 |
| 31 | 1-Dec-99 | 5.367273 | 4.012059 | 38.10082 | 0.876813 | 3.285621 |
| 32 | 1-Jan-00 | 5.300939 | 11.46042 | 67.11941 | 25.0778 | 3.265296 |
| 33 | 1-Feb-00 | 14.2302 | -8.34167 | -8.56756 | -11.685 | -2.78644 |
| 34 | 1-Mar-00 | -12.9032 | -3.39731 | 32.40741 | -11.7836 | -8.17975 |
| 35 | 1-Apr-00 | 16.44444 | 20.82667 | 7.524476 | 0.077084 | 10.69253 |
| 36 | 1-May-00 | 9.291357 | 1.323001 | 3.655047 | -19.1901 | -3.65481 |
| 37 | 1-Jun-00 | -24.6844 | -1.39307 | -2.2713 | -12.0915 | -1.47598 |
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50 Capitalism Ideas You Really Need To Know
Authors: Jonathan Portes
1st Edition
1529430178,1529430186
