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The following spreadsheet contains monthly returns for Cola Co. and Gas Co. for 2010. (You do NOT need to fill out the empty cells here
The following spreadsheet contains monthly returns for Cola Co. and Gas Co. for 2010. (You do NOT need to fill out the empty cells here again). | ||||||||||
Realized Returns | ||||||||||
Date | Cola Co | Gas Co. | Portfolio of 55% Cola and 45% Gas | |||||||
Jan | -10.84% | -6.00% | ||||||||
Feb | 2.36% | 1.28% | ||||||||
Mar | 6.60% | -1.86% | ||||||||
Apr | 2.01% | -1.90% | ||||||||
May | 18.36% | 7.40% | ||||||||
Jun | -1.22% | -0.26% | ||||||||
Jul | 2.25% | 8.36% | ||||||||
Aug | -6.89% | -2.46% | ||||||||
Sep | -6.04% | -2.00% | ||||||||
Oct | 13.61% | 0.00% | ||||||||
Nov | 3.51% | 4.68% | ||||||||
Dec | 0.54% | 2.22% | ||||||||
Average return | ||||||||||
Volatility | ||||||||||
Part I: calculate the correlation coefficient between Cola and Gas? | ||||||||||
Part II: use the equation on LC9 Slide #17 to calculate portfolio volatility again, and compare with your calcuation from #2. | ||||||||||
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