Statistical Analysis of Returns

ASSIGNMENT 1 Use Excel to do the following assignment. Consider the following ex-post data on securities Rit, Rjt , market Rmt and risk free rate Rft . Each data point are the rates of return in fractions year 1 2 3 4 5 6 7 8 9 10 Total Average return Rit 0.08 0.33 0.04 0.20 0.27 0.14 0.05 0.11 0.24 0.10 Rjt 0.08 0.12 0.04 0.08 0.16 0.1 0.05 0.05 0.12 0.09 Rmt 0.11 0.17 0.02 0.25 0.18 0.28 0.08 0.27 0.14 0 First assume the data are POPULATION data to do parts a to c and then assume the data are SAMPLE data and do parts a to c. Write a note on each of your computations i.e. indicate what do you infer from the numbers you compute. a. Obtain the arithmetic mean, geometric mean, harmonic mean, median, mode, range, MAD, variance, standard deviation, semi variance, skewness, kurtosis and excess kurtosis of each. b. Obtain the covariances and coefficients of correlation between all possible combinations e.g, ( Rit, Rjt), (Rit, Rmt),(Rit, Rft), (Rjt, Rmt), (Rjt, Rft) and (Rmt, Rft) c. Change the data into price-relatives (i.e. add “1” to the return data) and recomputed the geometric mean using geometric mean return formula. 1 Rft 0.05 0.07 0.06 0.08 0.06 0.07 0.07 0.09 0.07 0.08