Question

These data are daily percentage changes of several stocks in 2010 and 2011. This question focuses on stock in Apple.
(a) Describe the shape and any key features of the histogram of percentage changes in Apple stock.
(b) Find the mean and standard deviation of the percentage changes in Apple stock. Use the properties of these data to define a random variable that is the percentage change in Apple stock in a future day.
(c) If the interest cost for a daily investment in Apple is 2 basis points (0.02% per day), find the Sharpe ratio for a daily investment of $1,000 in this stock.
(d) Find the Sharpe ratio for a daily investment of $10,000 in this stock. Does it differ from your answer to (c)?
(e) How does the Sharpe ratio for Apple compare to that for owning McDonalds during this period?
(f) Contrast the results obtained in (e) using these daily returns to the comparison of Sharpe ratios using monthly data described in the chapter. Do these comparisons agree?


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  • CreatedJuly 14, 2015
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