Question
The Excel file posted with this assignment contains 53 weekly observations for five major market indices: SP500 = S&P 500 R2000 = Russell 2000 index
The Excel file posted with this assignment contains 53 weekly observations for five major market indices: SP500 = S&P 500 R2000 = Russell 2000 index of small-cap firms DOW30 = Dow-Jones Industrial average DJRE = Dow-Jones real estate sector DJUTL = Dow-Jones utility sector For each index, you should compute the weekly log-return as 100*(ln(Y_t) - ln(Y_{t-1})) where Y_t is the index value for week t and Y_{t-1} is the index value for the preceding week (t-1). Due to the differencing operation, you should recover 52 log returns for weeks 2 to 53. For this initial portion of the term project, you should use the log-return data for the five indices to describe the observed performance of these assets over the past year. You should use at least four of the tools presented in Chapters 1-3 of the course textbook, including the sample mean return, sample standard deviation, skewness, excess kurtosis, CV, Sharpe ratio, and other measures. Please assemble your analysis in a paper that includes a title page, an introduction section that lists the data series, a data summary section that presents your analysis, and an appendix that includes any tables or figures you use in the analysis. If you use any external references beyond our course textbook, you should cite these references in the paper and list the references at the end of the paper. The paper should follow the APA format convention.
Week | SP500 | R2000 | DOW30 | DJRE | DJUTL |
1 | 4,509.37 | 2,277.15 | 35,455.80 | 417.35 | 932.25 |
2 | 4,535.43 | 2,292.05 | 35,369.09 | 417.95 | 944.93 |
3 | 4,458.58 | 2,227.55 | 34,607.72 | 433.95 | 929.14 |
4 | 4,432.99 | 2,236.87 | 34,584.88 | 417.31 | 903.8 |
5 | 4,455.48 | 2,248.07 | 34,798.00 | 415.6 | 892.8 |
6 | 4,357.04 | 2,241.63 | 34,326.46 | 411.23 | 872.82 |
7 | 4,391.34 | 2,233.09 | 34,746.25 | 403.44 | 884.7 |
8 | 4,471.37 | 2,265.65 | 35,294.76 | 401.73 | 898.54 |
9 | 4,544.90 | 2,291.27 | 35,677.02 | 416.53 | 921.43 |
10 | 4,605.38 | 2,297.19 | 35,819.56 | 427.78 | 915.91 |
11 | 4,697.53 | 2,437.08 | 36,327.95 | 426.51 | 918.63 |
12 | 4,682.85 | 2,411.78 | 36,100.31 | 427.91 | 908.29 |
13 | 4,697.96 | 2,343.16 | 35,601.98 | 427.35 | 914.39 |
14 | 4,594.62 | 2,245.94 | 34,899.34 | 426.14 | 906.95 |
15 | 4,538.43 | 2,159.31 | 34,580.08 | 420.83 | 914.03 |
16 | 4,712.02 | 2,211.81 | 35,970.99 | 420.65 | 935.67 |
17 | 4,620.64 | 2,173.93 | 35,365.44 | 431.58 | 950.07 |
18 | 4,725.79 | 2,241.58 | 35,950.56 | 435.86 | 955.77 |
19 | 4,766.18 | 2,245.31 | 36,338.30 | 439.78 | 980.78 |
20 | 4,677.03 | 2,179.81 | 36,231.66 | 453.47 | 968.1 |
21 | 4,662.85 | 2,162.46 | 35,911.81 | 432.88 | 953.07 |
22 | 4,397.94 | 1,987.92 | 34,265.37 | 426.82 | 943.75 |
23 | 4,431.85 | 1,968.51 | 34,725.47 | 411.61 | 941.03 |
24 | 4,500.53 | 2,002.36 | 35,089.74 | 410.33 | 942.19 |
25 | 4,418.64 | 2,030.15 | 34,738.06 | 410.34 | 924.77 |
26 | 4,348.87 | 2,009.33 | 34,079.18 | 402.47 | 915.77 |
27 | 4,384.65 | 2,040.93 | 34,058.75 | 395.86 | 938.25 |
28 | 4,328.87 | 2,000.90 | 33,614.80 | 403.41 | 988.47 |
29 | 4,204.31 | 1,979.67 | 32,944.19 | 407.65 | 978.68 |
30 | 4,463.12 | 2,086.14 | 34,754.93 | 400.57 | 983.04 |
31 | 4,543.06 | 2,077.98 | 34,861.24 | 411.65 | 1,016.64 |
32 | 4,545.86 | 2,091.11 | 34,818.27 | 413.26 | 1,057.27 |
33 | 4,488.28 | 1,994.56 | 34,721.12 | 428.75 | 1,070.84 |
34 | 4,392.59 | 2,004.98 | 34,451.23 | 427.79 | 1,061.63 |
35 | 4,271.78 | 1,940.66 | 33,811.40 | 422.42 | 1,042.69 |
36 | 4,131.93 | 1,864.10 | 32,977.21 | 426.33 | 999.9 |
37 | 4,123.34 | 1,839.56 | 32,899.37 | 403.64 | 1,007.16 |
38 | 4,023.89 | 1,792.67 | 32,196.66 | 388.95 | 992.74 |
39 | 3,901.36 | 1,773.27 | 31,261.90 | 376.7 | 990.86 |
40 | 4,158.24 | 1,887.90 | 33,212.96 | 369.47 | 1,035.30 |
41 | 4,108.54 | 1,883.05 | 32,899.70 | 390.46 | 1,020.31 |
42 | 3,900.86 | 1,800.28 | 31,392.79 | 382.57 | 980.42 |
43 | 3,674.84 | 1,665.69 | 29,888.78 | 360.74 | 887.72 |
44 | 3,911.74 | 1,765.74 | 31,500.68 | 341 | 953.63 |
45 | 3,825.33 | 1,727.76 | 31,097.26 | 365.81 | 992.63 |
46 | 3,899.38 | 1,769.36 | 31,338.15 | 363.56 | 962.03 |
47 | 3,863.16 | 1,744.37 | 31,288.26 | 362.65 | 963.16 |
48 | 3,961.63 | 1,806.88 | 31,899.29 | 359.41 | 960.95 |
49 | 4,130.29 | 1,885.23 | 32,845.13 | 369.88 | 1,024.18 |
50 | 4,145.19 | 1,921.82 | 32,803.47 | 388.12 | 1,013.96 |
51 | 4,280.15 | 2,016.62 | 33,761.05 | 382.03 | 1,041.56 |
52 | 4,228.48 | 1,957.35 | 33,706.74 | 398.33 | 1,056.06 |
53 | 4,057.66 | 1,899.83 | 32,283.40 | 389.83 | 1,026.74 |
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