Data Case

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Group Project
Berk DeMarzo Data Case chapter 10

1. Collect price information for each stock from Yahoo! Finance Professor has provided it for us.
The specific data of question 2-4 is in the appendix.
We only include the functions and simple answers below every question. 2. Return=(P2-P1)/P1
3. mean monthly returns, standard deviations for the monthly returns
and annual statistics
Ticker| AAPL| ADM| BA| C| CAT| DE| HSY| MOT| PG| SIRI| WMT| YHOO| Mean| 8.39%| 3.70%| 2.68%| -0.26%| 2.87%| 3.40%| 0.43%| 0.48%| 1.25%| 3.34%| 0.69%| 2.22%| SD| 0.1584| 0.1050| 0.0697| 0.0709| 0.0742| 0.0867| 0.0491| 0.0934| 0.0455| 0.1963| 0.0477| 0.1299| Annual Mean| 1.0068| 0.4444| 0.3215| -0.0315| 0.3444| 0.4077| 0.0519| 0.0576| 0.1505| 0.4010| 0.0827| 0.2660| Annual SD| 0.5489| 0.3638| 0.2414| 0.2457| 0.2569| 0.3002| 0.1702| 0.3236| 0.1577| 0.6800| 0.1654| 0.4499|

4. Monthly return to an equally weighted portfolio of these 12 stocks.
The mean and standard deviation of monthly returns for the equally weighted portfolio. | Mean|
Mean| 0.0389|
Standard Deviation| 0.0925|
Annual Mean| 0.4671|
Annual SD| 0.3204|

5. Standard deviation (volatility) on the x-axis and average return on the y-axis
Solution:

6. What do you notice about the volatilities of the individual stocks, compared to the volatility of the equally weighted portfolio?
Solution: The volatilities of the individual stocks are mostly bigger than the volatility of the equally weighted portfolio that implies the portfolio tends to have more stability and less risk than the individual stocks themselves.

Appendix
Date| AAPL return| ADM return| BA return| C return| CAT return| DE return| HSY return| MOT return| PG return| SIRI return| WMT return| YHOO return| Mean| Apr-03| 26.30| 8.63| 13.06| 5.02| -0.88| -0.82| 9.48| 7.79| 2.19| 116.22| -6.57| 20.42| 16.74| May-03| 6.12| 7.49| 11.92| 4.35| 6.74| 5.17| -2.03| 11.19| -2.87| 5.62| 2.17| 9.58| 5.45| Jun-03| 10.60| 2.06| -3.50| 5.47| 21.96| 11.07| 4.52| -4.20| -0.96| 5.33| 4.17| -4.83| 4.31| Jul-03| 7.31| 6.07| 13.45| -3.23| 6.45| 11.29| -3.46| 18.75| -0.65| -5.62| 5.85| 7.26| 5.29| Aug-03| -8.40| -5.48| -8.18| 4.98| -4.16| -5.25| 3.98| 11.76| 6.32| 8.33| -5.62| 5.99| 0.36| Sep-03| 10.42| 9.41| 12.12| 4.94| 6.96| 13.69| 6.09| 13.23| 6.42| 29.12| 5.71| 23.52| 11.80| Oct-03| -8.65| 0.00| 0.18| -0.78| 3.77| 1.00| 1.29| 3.81| -2.10| -11.49| -5.61| -1.60| -1.68| Nov-03| 2.30| 6.53| 9.79| 3.21| 9.18| 6.62| -0.92| 0.00| 3.78| 51.92| -4.49| 4.70| 7.72| Dec-03| 5.52| 2.88| -0.94| 2.76| -5.46| -3.77| -1.92| 18.41| 1.67| -14.56| 1.50| 4.35| 0.87| Jan-04| 6.03| 10.37| 4.28| 1.59| -3.05| 2.60| 10.30| 11.30| 1.42| 8.89| 10.60| -5.62| 4.89| Feb-04| 13.04| -1.97| -5.30| 2.86| 4.39| 8.37| -0.06| -4.40| 2.31| 15.65| 0.44| 9.34| 3.72| Mar-04| -4.66| 4.08| 3.95| -6.20| -1.25| -1.83| 7.29| 3.72| 1.35| -2.94| -4.50| 4.21| 0.27| Apr-04| 8.84| -4.85| 7.79| -3.45| -3.05| -3.46| 0.26| 8.28| 1.93| -9.09| -2.01| 21.38| 1.88| May-04| 15.97| 0.92| 11.54| 0.13| 5.42| 7.21| 4.30| -7.47| 0.97| 2.67| -5.78| 18.72| 4.55| Jun-04| -0.61| -8.04| -0.66| -4.30| -7.01| -10.44| 4.69| -12.76| -3.75| -18.51| 0.95| -15.38| -6.32| Jul-04| 6.68| 3.95| 3.32| 5.64| -1.08| 0.70| 0.14| 1.42| 7.31| -7.57| -0.39| -7.44| 1.06| Aug-04| 12.35| 6.37| -1.16| -5.29| 10.65| 2.52| -3.25| 11.99| -3.31| 37.93| 0.99| 18.94| 7.39| Sep-04| 35.19| 14.02| -3.33| 1.51| 0.62| -7.41| 8.50| -4.34| -4.98| 21.88| 1.37| 6.72| 5.81| Oct-04| 27.98| 9.89| 7.77| 0.86| 13.69| 19.98| 2.63| 11.61| 4.50| 70.00| -3.46| 3.95| 14.12| Nov-04| -3.97|...
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