The purpose of this assignment is to learn more about beta and risk-adjusted returns - Choose...
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The purpose of this assignment is to learn more about beta and risk-adjusted returns - Choose 2 stocks - look up betas for your stocks using Excel Data Types, Yahoo! Finance, or Koyfin.com (published betas are usually 5-year betas) Download a year of adjusted closing prices for your stocks and the S&P500 from Yahoo* or Koyfin** calculate daily HPR for each regress [Data, Data Analysis, Regression] each stock HPR on the benchmark HPR (Y is the stock and X is the benchmark) - the slope is the one-year beta - test whether the beta is significantly greater/less than one •Calculate downside beta for each stock • select your data use Data, Sort to sort by S&P500 returns, lowest to highest your data set is all of the HPRs where the benchmark is negative regress each stock on the benchmark for the restricted data set the slope is your downside beta - Calculate the Sharpe ratio and the Treynor ratio for each Make a table to add to your Word summary, similar to Risk and Return Activity III: compare average daily HPRS, standard deviation, calculated 1-year betas, calculated downside betas, published 5-year betas, CAPM required return using the published betas, Sharpe ratios, and Treynor ratios for your stocks and the benchmark Discussion: What do the betas mean? What is the difference between regular betas and downside betas? Are your betas statistically significant? How do betas help you with investment decisions? What's the difference between the Sharpe and Treynor ratios? Which is more appropriate? What did you learn about your stocks? Which asset is best according to these measures? The purpose of this assignment is to learn more about beta and risk-adjusted returns - Choose 2 stocks - look up betas for your stocks using Excel Data Types, Yahoo! Finance, or Koyfin.com (published betas are usually 5-year betas) Download a year of adjusted closing prices for your stocks and the S&P500 from Yahoo* or Koyfin** calculate daily HPR for each regress [Data, Data Analysis, Regression] each stock HPR on the benchmark HPR (Y is the stock and X is the benchmark) - the slope is the one-year beta - test whether the beta is significantly greater/less than one •Calculate downside beta for each stock • select your data use Data, Sort to sort by S&P500 returns, lowest to highest your data set is all of the HPRs where the benchmark is negative regress each stock on the benchmark for the restricted data set the slope is your downside beta - Calculate the Sharpe ratio and the Treynor ratio for each Make a table to add to your Word summary, similar to Risk and Return Activity III: compare average daily HPRS, standard deviation, calculated 1-year betas, calculated downside betas, published 5-year betas, CAPM required return using the published betas, Sharpe ratios, and Treynor ratios for your stocks and the benchmark Discussion: What do the betas mean? What is the difference between regular betas and downside betas? Are your betas statistically significant? How do betas help you with investment decisions? What's the difference between the Sharpe and Treynor ratios? Which is more appropriate? What did you learn about your stocks? Which asset is best according to these measures?
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I can help you with your assignment on beta and riskadjusted returns Here are some steps you can follow Choose two stocks that you are interested in and find their ticker symbols For example you can c... View the full answer
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Concepts In Federal Taxation
ISBN: 9780324379556
19th Edition
Authors: Kevin E. Murphy, Mark Higgins, Tonya K. Flesher
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