Finance Mini Case

This assignment will require you to analyze time series of monthly returns for different securities. 

[20 points] 3) Calculate the MONTHLY return data for the 10/01/2017 – 09/30/2020 period for the selected three securities. Note: Return for Month 2 = (Adj Close for Month 2/Adj Close for Month 1) – 1 

[7 points] 4) Calculate the average arithmetic monthly return, variance, and standard deviation of returns for 10/01/2017 – 09/30/2020 period for the selected three securities. FIN 5130 Mini-case 1 Real-world Application: Risk and Return Dr. Darshana Palkar Page 2 of 2 

[8 points] 5) Calculate the covariance and correlation of returns between Company A and Company B for the 10/01/2017 – 09/30/2020 period. What does the correlation indicate? 

[15 points] 6) Calculate the stock betas for Company A and Company B for the 10/01/2017 – 09/30/2020 period. What do the betas indicate? Hint: What is a proxy for the market portfolio? What should go in the known-xs array and what should go in the known-ys array? 

[25 points] 7) Suppose you invest 50% in Company A and 50% in Company B. What is your portfolio average return and standard deviation? 

[15 points] 8) Compare the average return and standard deviation of Company A and Company B from #4 with the portfolio average return and standard deviation from #7. What do you observe? What can you conclude from your findings?

S&P

DateAdj Close
2017-10-012575.260010
2017-11-012584.840088
2017-12-012673.610107
2018-01-012823.810059
2018-02-012713.830078
2018-03-012640.870117
2018-04-012648.050049
2018-05-012705.270020
2018-06-012718.370117
2018-07-012816.290039
2018-08-012901.520020
2018-09-012913.979980
2018-10-012711.739990
2018-11-012760.169922
2018-12-012506.850098
2019-01-012704.100098
2019-02-012784.489990
2019-03-012834.399902
2019-04-012945.830078
2019-05-012752.060059
2019-06-012941.760010
2019-07-012980.379883
2019-08-012926.459961
2019-09-012976.739990
2019-10-013037.560059
2019-11-013140.979980
2019-12-013230.780029
2020-01-013225.520020
2020-02-012954.219971
2020-03-012584.590088
2020-04-012912.429932
2020-05-013044.310059
2020-06-013100.290039
2020-07-013271.120117
2020-08-013500.310059
2020-09-013363.000000

AT&T

DateAdj Close
2017-10-0127.629148
2017-11-0130.245785
2017-12-0132.324245
2018-01-0131.135363
2018-02-0130.579
2018-03-0130.031443
2018-04-0127.54637
2018-05-0127.613768
2018-06-0127.434349
2018-07-0127.314728
2018-08-0127.713106
2018-09-0129.136074
2018-10-0126.619856
2018-11-0127.508984
2018-12-0125.131445
2019-01-0126.46991
2019-02-0127.857513
2019-03-0128.072351
2019-04-0127.714287
2019-05-0127.81204
2019-06-0130.47683
2019-07-0130.967953
2019-08-0132.553165
2019-09-0134.935101
2019-10-0135.535206
2019-11-0134.986488
2019-12-0136.577629
2020-01-0135.211121
2020-02-0133.406025
2020-03-0127.648653
2020-04-0128.900667
2020-05-0129.78549
2020-06-0129.177425
2020-07-0128.550058
2020-08-0129.271763
2020-09-0127.995235

Microsoft

DateAdj Close
2017-10-0179.537865
2017-11-0180.484512
2017-12-0182.205322
2018-01-0191.306129
2018-02-0190.114471
2018-03-0188.123955
2018-04-0190.296387
2018-05-0195.433014
2018-06-0195.623627
2018-07-01102.867409
2018-08-01108.928123
2018-09-01111.33313
2018-10-01103.973877
2018-11-01107.945564
2018-12-0199.300156
2019-01-01102.096245
2019-02-01109.526405
2019-03-01115.796768
2019-04-01128.2267
2019-05-01121.432449
2019-06-01132.012497
2019-07-01134.288925
2019-08-01135.855804
2019-09-01137.465027
2019-10-01141.756165
2019-11-01149.67601
2019-12-01156.455429
2020-01-01168.886551
2020-02-01160.73143
2020-03-01156.892731
2020-04-01178.281311
2020-05-01182.300385
2020-06-01203.019226
2020-07-01204.51561
2020-08-01224.98613
2020-09-01210.330002
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