Mini case 1

Late assignments will not be accepted so please plan

accordingly. You need to show your working notes for credit. You must submit

your work using excel files (with

.xls or .xlsx for credit). You must upload your files on

Blackboard under the Assignment Dropbox for credit.

This assignment will require you to analyze time series of

monthly returns. Start by retrieving MONTHLY data for the period of 09/01/2013

– 08/31/2017 from Yahoo website for

? S&P 500 Index

(ticker: ^GSPC)

? Verizon Communications Inc. (ticker: VZ) ? Chevron

Corporation (ticker: CVX)

? Pfizer Inc.

(ticker: PFE)

Instructions for downloading the data from Yahoo! Website

(https://finance.yahoo.com/): To obtain the monthly data for each company, on

Yahoo! Finance website, enter the ticker symbol under Quote Lookup. Then, click

on “Historical Data”. Enter “Time Period” as given above. For “Frequency”, make

sure Monthly is selected and then click on “Apply”. Click on “Download Data”.

Saving your final file:

Keep only Date and Adj Close columns for each company. Put

all three sets of data in one excel file to do further analysis.

Very important: Save your final file as a .xls or .xlsx file

before you start the computations. Comma delimited (.csv) files do not retain

the formulae and cell references after closing the file. You will receive a

grade of zero if your file does not contain cell references and formulae to

show how you arrived at the various answers.

Calculating Returns:

Use the ‘Adj Close’ column to obtain returns for each

period. Remember that the Adjusted Close column has already adjusted the prices

for dividends and stock splits so you do not have to adjust for it again. Just

use the adjusted close column to obtain the return for each month t as follows:

Rt ? Adjusted Closet ?1

Adjusted Closet?1

Solve for the following:

A. What is

the average return and standard deviation of returns for (i) S&P 500, (ii)

Verizon, (iii) Chevron, and (iv) Pfizer. Comment on what you find.

B. Calculate

the covariance and the correlation coefficient of returns between (i) Verizon

and Chevron, (ii) Verizon and Pfizer, and (iii) Chevron and Pfizer. Comment on

the statistics.

C. Calculate

the stock betas: (i) Calculate Verizon’s beta for the 09/01/2013 – 08/31/2017

period, (ii) Calculate Chevron’s beta for the 09/01/2013 – 08/31/2017 period,

and (iii) Calculate Pfizer’s beta for the 09/01/2013 – 08/31/2017 period.

Comment on the betas.

D. If you

were to form a portfolio that had 34% of S&P, 33% of Verizon, and 33% of

Chevron, what would be the average return and the standard deviation of returns

for your portfolio? (Ignore the fact that both Verizon and Chevron may already

be included in the S&P 500)

E. If you

were to add Pfizer to your portfolio so that you now had 25% S&P, 25%

Verizon, 25% Chevron, and 25% Pfizer, what would be the new average return and

standard deviation of returns for your portfolio? Is Pfizer a good addition to

your portfolio? Why do you think so? (Ignore the fact that Verizon, Chevron,

and Pfizer may already be included in the S&P 500)

Mini case 1

Late assignments will not be accepted so please plan

accordingly. You need to show your working notes for credit. You must submit

your work using excel files (with

.xls or .xlsx for credit). You must upload your files on

Blackboard under the Assignment Dropbox for credit.

This assignment will require you to analyze time series of

monthly returns. Start by retrieving MONTHLY data for the period of 09/01/2013

– 08/31/2017 from Yahoo website for

? S&P 500 Index

(ticker: ^GSPC)

? Verizon Communications Inc. (ticker: VZ) ? Chevron

Corporation (ticker: CVX)

? Pfizer Inc.

(ticker: PFE)

Instructions for downloading the data from Yahoo! Website

(https://finance.yahoo.com/): To obtain the monthly data for each company, on

Yahoo! Finance website, enter the ticker symbol under Quote Lookup. Then, click

on “Historical Data”. Enter “Time Period” as given above. For “Frequency”, make

sure Monthly is selected and then click on “Apply”. Click on “Download Data”.

Saving your final file:

Keep only Date and Adj Close columns for each company. Put

all three sets of data in one excel file to do further analysis.

Very important: Save your final file as a .xls or .xlsx file

before you start the computations. Comma delimited (.csv) files do not retain

the formulae and cell references after closing the file. You will receive a

grade of zero if your file does not contain cell references and formulae to

show how you arrived at the various answers.

Calculating Returns:

Use the ‘Adj Close’ column to obtain returns for each

period. Remember that the Adjusted Close column has already adjusted the prices

for dividends and stock splits so you do not have to adjust for it again. Just

use the adjusted close column to obtain the return for each month t as follows:

Rt ? Adjusted Closet ?1

Adjusted Closet?1

Solve for the following:

A. What is

the average return and standard deviation of returns for (i) S&P 500, (ii)

Verizon, (iii) Chevron, and (iv) Pfizer. Comment on what you find.

B. Calculate

the covariance and the correlation coefficient of returns between (i) Verizon

and Chevron, (ii) Verizon and Pfizer, and (iii) Chevron and Pfizer. Comment on

the statistics.

C. Calculate

the stock betas: (i) Calculate Verizon’s beta for the 09/01/2013 – 08/31/2017

period, (ii) Calculate Chevron’s beta for the 09/01/2013 – 08/31/2017 period,

and (iii) Calculate Pfizer’s beta for the 09/01/2013 – 08/31/2017 period.

Comment on the betas.

D. If you

were to form a portfolio that had 34% of S&P, 33% of Verizon, and 33% of

Chevron, what would be the average return and the standard deviation of returns

for your portfolio? (Ignore the fact that both Verizon and Chevron may already

be included in the S&P 500)

E. If you

were to add Pfizer to your portfolio so that you now had 25% S&P, 25%

Verizon, 25% Chevron, and 25% Pfizer, what would be the new average return and

standard deviation of returns for your portfolio? Is Pfizer a good addition to

your portfolio? Why do you think so? (Ignore the fact that Verizon, Chevron,

and Pfizer may already be included in the S&P 500)

Mini case 1

Late assignments will not be accepted so please plan

accordingly. You need to show your working notes for credit. You must submit

your work using excel files (with

.xls or .xlsx for credit). You must upload your files on

Blackboard under the Assignment Dropbox for credit.

This assignment will require you to analyze time series of

monthly returns. Start by retrieving MONTHLY data for the period of 09/01/2013

– 08/31/2017 from Yahoo website for

? S&P 500 Index

(ticker: ^GSPC)

? Verizon Communications Inc. (ticker: VZ) ? Chevron

Corporation (ticker: CVX)

? Pfizer Inc.

(ticker: PFE)

Instructions for downloading the data from Yahoo! Website

(https://finance.yahoo.com/): To obtain the monthly data for each company, on

Yahoo! Finance website, enter the ticker symbol under Quote Lookup. Then, click

on “Historical Data”. Enter “Time Period” as given above. For “Frequency”, make

sure Monthly is selected and then click on “Apply”. Click on “Download Data”.

Saving your final file:

Keep only Date and Adj Close columns for each company. Put

all three sets of data in one excel file to do further analysis.

Very important: Save your final file as a .xls or .xlsx file

before you start the computations. Comma delimited (.csv) files do not retain

the formulae and cell references after closing the file. You will receive a

grade of zero if your file does not contain cell references and formulae to

show how you arrived at the various answers.

Calculating Returns:

Use the ‘Adj Close’ column to obtain returns for each

period. Remember that the Adjusted Close column has already adjusted the prices

for dividends and stock splits so you do not have to adjust for it again. Just

use the adjusted close column to obtain the return for each month t as follows:

Rt ? Adjusted Closet ?1

Adjusted Closet?1

Solve for the following:

A. What is

the average return and standard deviation of returns for (i) S&P 500, (ii)

Verizon, (iii) Chevron, and (iv) Pfizer. Comment on what you find.

B. Calculate

the covariance and the correlation coefficient of returns between (i) Verizon

and Chevron, (ii) Verizon and Pfizer, and (iii) Chevron and Pfizer. Comment on

the statistics.

C. Calculate

the stock betas: (i) Calculate Verizon’s beta for the 09/01/2013 – 08/31/2017

period, (ii) Calculate Chevron’s beta for the 09/01/2013 – 08/31/2017 period,

and (iii) Calculate Pfizer’s beta for the 09/01/2013 – 08/31/2017 period.

Comment on the betas.

D. If you

were to form a portfolio that had 34% of S&P, 33% of Verizon, and 33% of

Chevron, what would be the average return and the standard deviation of returns

for your portfolio? (Ignore the fact that both Verizon and Chevron may already

be included in the S&P 500)

E. If you

were to add Pfizer to your portfolio so that you now had 25% S&P, 25%

Verizon, 25% Chevron, and 25% Pfizer, what would be the new average return and

standard deviation of returns for your portfolio? Is Pfizer a good addition to

your portfolio? Why do you think so? (Ignore the fact that Verizon, Chevron,

and Pfizer may already be included in the S&P 500)

Late assignments will not be accepted so please plan

accordingly. You need to show your working notes for credit. You must submit

your work using excel files (with

.xls or .xlsx for credit). You must upload your files on

Blackboard under the Assignment Dropbox for credit.

This assignment will require you to analyze time series of

monthly returns. Start by retrieving MONTHLY data for the period of 09/01/2013

– 08/31/2017 from Yahoo website for

? S&P 500 Index

(ticker: ^GSPC)

? Verizon Communications Inc. (ticker: VZ) ? Chevron

Corporation (ticker: CVX)

? Pfizer Inc.

(ticker: PFE)

Instructions for downloading the data from Yahoo! Website

(https://finance.yahoo.com/): To obtain the monthly data for each company, on

Yahoo! Finance website, enter the ticker symbol under Quote Lookup. Then, click

on “Historical Data”. Enter “Time Period” as given above. For “Frequency”, make

sure Monthly is selected and then click on “Apply”. Click on “Download Data”.

Saving your final file:

Keep only Date and Adj Close columns for each company. Put

all three sets of data in one excel file to do further analysis.

Very important: Save your final file as a .xls or .xlsx file

before you start the computations. Comma delimited (.csv) files do not retain

the formulae and cell references after closing the file. You will receive a

grade of zero if your file does not contain cell references and formulae to

show how you arrived at the various answers.

Calculating Returns:

Use the ‘Adj Close’ column to obtain returns for each

period. Remember that the Adjusted Close column has already adjusted the prices

for dividends and stock splits so you do not have to adjust for it again. Just

use the adjusted close column to obtain the return for each month t as follows:

Rt ? Adjusted Closet ?1

Adjusted Closet?1

Solve for the following:

A. What is

the average return and standard deviation of returns for (i) S&P 500, (ii)

Verizon, (iii) Chevron, and (iv) Pfizer. Comment on what you find.

B. Calculate

the covariance and the correlation coefficient of returns between (i) Verizon

and Chevron, (ii) Verizon and Pfizer, and (iii) Chevron and Pfizer. Comment on

the statistics.

C. Calculate

the stock betas: (i) Calculate Verizon’s beta for the 09/01/2013 – 08/31/2017

period, (ii) Calculate Chevron’s beta for the 09/01/2013 – 08/31/2017 period,

and (iii) Calculate Pfizer’s beta for the 09/01/2013 – 08/31/2017 period.

Comment on the betas.

D. If you

were to form a portfolio that had 34% of S&P, 33% of Verizon, and 33% of

Chevron, what would be the average return and the standard deviation of returns

for your portfolio? (Ignore the fact that both Verizon and Chevron may already

be included in the S&P 500)

E. If you

were to add Pfizer to your portfolio so that you now had 25% S&P, 25%

Verizon, 25% Chevron, and 25% Pfizer, what would be the new average return and

standard deviation of returns for your portfolio? Is Pfizer a good addition to

your portfolio? Why do you think so? (Ignore the fact that Verizon, Chevron,

and Pfizer may already be included in the S&P 500)