Quantitative Problems - Ibm Stock Analysis

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  • Topic: Rate of return
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  • Published : January 8, 2013
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Index Models Download 61 months (October 2007 to October 2012) of monthly data for the S&P 500 index (symbol = ^GSPC). Download 61 months (October 2007 to October 2012) of IBM data and 61 months (October 2007 to October 2012) of GE data. Download 60 months (November 2007 to October 2012) of the 13 week T-bill rate (symbol = ^IRX). Be sure to use end-of-month data! Construct the following on a spreadsheet:

1. Calculate 60 months of returns for the S&P 500 index, IBM and GE. Use November 2007 to October 2012. Note this means you need price data for October 2007. IBM returns: Obs. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 Date Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 IBM 96.17 98.84 97.94 104.5 105.7 110.8 119.3 109.2 118 112.6 108.2 86.01 75.92 78.3 85.27 86.09 90.63 96.54 99.94 98.19 110.9 111.5 113 113.9 119.9 124.2 116.1 121.2 122.2 123 Prices S&P 500 1481.14 1468.36 1378.55 1330.63 1322.7 1385.59 1400.38 1280 1267.38 1282.83 1166.36 968.75 896.24 903.25 825.88 735.09 797.87 872.81 919.14 919.32 987.48 1020.62 1057.08 1036.19 1095.63 1115.1 1073.87 1104.49 1169.43 1186.69 Returns IBM S&P 500 -0.09102 -0.04404 0.02776 -0.00863 -0.00911 -0.06116 0.06708 -0.03476 0.01120 -0.00596 0.04826 0.04755 0.07673 0.01067 -0.08417 -0.08596 0.07973 -0.00986 -0.04519 0.01219 -0.03916 -0.09079 -0.20516 -0.16942 -0.11731 -0.07485 0.03135 0.00782 0.08902 -0.08566 0.00962 -0.10993 0.05274 0.08540 0.06521 0.09393 0.03522 0.05308 -0.01751 0.00020 0.12934 0.07414 0.00568 0.03356 0.01318 0.03572 0.00841 -0.01976 0.05231 0.05736 0.03603 0.01777 -0.06505 -0.03697 0.04365 0.02851 0.00850 0.05880 0.00589 0.01476

31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60

May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10 Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12

120 118.3 123 118.6 129.2 138.3 136.8 141.9 156.7 157.2 158.3 165.6 164.8 167.3 177.4 168.4 171.3 180.9 184.9 180.8 189.4 194.2 206 204.4 191.2 193.9 194.3 194 206.6 193.7

1089.41 1030.71 1101.6 1049.33 1141.2 1183.26 1180.55 1257.64 1286.12 1327.22 1325.83 1363.61 1345.2 1320.64 1292.28 1218.89 1131.42 1253.3 1246.96 1257.6 1312.41 1365.68 1408.47 1397.91 1310.33 1362.16 1379.32 1406.58 1440.67 1412.16

-0.02399 -0.01425 0.03990 -0.03634 0.08941 0.07054 -0.01056 0.03750 0.10385 0.00319 0.00738 0.04604 -0.00525 0.01554 0.06001 -0.05052 0.01722 0.05581 0.02234 -0.02190 0.04739 0.02545 0.06055 -0.00752 -0.06457 0.01391 0.00206 -0.00154 0.06469 -0.06231

-0.08198 -0.05388 0.06878 -0.04745 0.08755 0.03686 -0.00229 0.06530 0.02265 0.03196 -0.00105 0.02850 -0.01350 -0.01826 -0.02147 -0.05679 -0.07176 0.10772 -0.00506 0.00853 0.04358 0.04059 0.03133 -0.00750 -0.06265 0.03955 0.01260 0.01976 0.02424 -0.01979

GE returns:
Obs. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 Date Nov-07 Dec-07 Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 GM 31.43 30.69 29.27 27.68 30.91 27.31 25.66 22.54 23.89 23.73 21.83 16.7 14.7 14.13 Prices S&P 500 1481.14 1468.36 1378.55 1330.63 1322.7 1385.59 1400.38 1280 1267.38 1282.83 1166.36 968.75 896.24 903.25 Returns GM S&P 500 -0.06957 -0.04404 -0.02354 -0.00863 -0.04627 -0.06116 -0.05432 -0.03476 0.11669 -0.00596 -0.11647 0.04755 -0.06042 0.01067 -0.12159 -0.08596 0.05989 -0.00986 -0.00670 0.01219 -0.08007 -0.09079 -0.23500 -0.16942 -0.11976 -0.07485 -0.03878 0.00782

15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60

Jan-09 Feb-09 Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10 Apr-10 May-10 Jun-10 Jul-10 Aug-10 Sep-10 Oct-10 Nov-10 Dec-10...
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