Below you will find annual return data for six furniture companies for the years 1982? 1992. Use these data to calculate the variance-covariance matrix of the returns.

The remaining exercises refer to the data in the tab Price data on the exercise spreadsheet that accompanies this book. This tab gives three years of price data for six stocks and the S&P 500 as a surrogate for the market.

Transcribed Image Text:

A B C DIE F G H DATA FOR 6 FURNITURE COMPANIES Leggett Herman Shaw La-Z-Boy Kimball Flexsteel & Platt Miller Industries 36.67% 122.82% 14.44% 0.20% 26.13% 73.38% 22.50% 117.89% 7.80% 38.14% 54.48% 26.82% -6.24% 123.03% 15.48% 19.92% 62.76% 41.54% 61.43% 195.09% -38.38% 21.92% 62.27% -1.27% 81.17% 19.83% -10.21% 13.77% 1982 1983 1984 63.51% 45.15% 1985 21.39% 28.42% -7.44% 48.27% 1.30% 24.27% 10.73% 1986 45.36% 21.89% 1987 20.19% 9.11% 12.65% -11.92% 1988 -8.94% 27.02% -11.64% 9 -11.28% 7.06% 1989 -7.55% 10 11 12.85% 12.08% 2.42% -17.13% 6.90% 32.55% -6.48% 50.12% 84.40% 1990 1.31% -5.54% 5.71%| 12 1991 20.29% 3.62% 13 14 15 Beta 16 Mean returns 1992 34.08% 22.21% 33.46% 0.95 20.68% 0.65 25.02% 0.85 31.64% 0.85 15.34% 1.40 43.87%|<-- =AVERAGE(G3:G13) 0.80 29.24% N/345 O7