Question: Considering the below portfolio, could you please answer the questions ? Date S&P 500 REYNOLDS HASBRO Jan-02 -1,70% 6,13% 1,66% fvr-02 -2,31% 9,87% -13,27% mars-02
Considering the below portfolio, could you please answer the questions ?
| Date | S&P 500 | REYNOLDS | HASBRO |
| Jan-02 | -1,70% | 6,13% | 1,66% |
| fvr-02 | -2,31% | 9,87% | -13,27% |
| mars-02 | 4,37% | -1,37% | 10,55% |
| avr-02 | -5,06% | 6,87% | 1,01% |
| mai-02 | -1,19% | 2,17% | -4,26% |
| juin-02 | -7,15% | -23,97% | -11,37% |
| juil-02 | -8,23% | 1,64% | -9,66% |
| aot-02 | 0,64% | 7,71% | 7,35% |
| sept-02 | -10,14% | -31,48% | -15,36% |
| oct-02 | 7,35% | 0,57% | -8,18% |
| nov-02 | 5,96% | -4,81% | 25,44% |
| dc-02 | -5,50% | 9,09% | -9,91% |
| janv-03 | -2,46% | 0,59% | 3,90% |
| fvr-03 | -1,72% | -5,78% | 0,92% |
| mars-03 | 0,89% | -19,17% | 14,70% |
| avr-03 | 8,12% | -12,68% | 15,19% |
| mai-03 | 6,18% | 21,02% | 0,06% |
| juin-03 | 1,48% | 9,15% | 9,24% |
| juil-03 | 2,18% | -4,54% | 7,78% |
| aot-03 | 2,34% | -3,86% | -1,86% |
| sept-03 | -1,06% | 15,78% | 0,97% |
| oct-03 | 5,89% | 21,47% | 16,70% |
| nov-03 | 1,51% | 14,93% | 1,42% |
| dc-03 | 4,39% | 5,34% | -3,75% |
| janv-04 | 2,20% | 1,56% | -7,19% |
| fvr-04 | 1,40% | 4,52% | 10,73% |
| mars-04 | -1,20% | -1,99% | -0,55% |
| avr-04 | -2,56% | 7,06% | -13,15% |
| mai-04 | 1,24% | -13,23% | 4,08% |
| juin-04 | 2,00% | 20,27% | -3,36% |
| juil-04 | -3,88% | 6,45% | -4,37% |
| aot-04 | 0,11% | 4,93% | 1,98% |
| sept-04 | 1,91% | -9,88% | 1,46% |
| oct-04 | 1,66% | 1,21% | -5,90% |
| nov-04 | 4,43% | 9,83% | 7,57% |
| dc-04 | 3,34% | 3,93% | 1,84% |
| janv-05 | -2,74% | 2,32% | 1,14% |
| fvr-05 | 2,09% | 1,90% | 7,76% |
| mars-05 | -1,86% | -1,66% | -3,17% |
| avr-05 | -2,66% | -3,25% | -7,48% |
| mai-05 | 3,59% | 6,34% | 6,66% |
| juin-05 | 0,99% | -4,96% | 3,02% |
| juil-05 | 4,22% | 5,72% | 5,53% |
| aot-05 | -0,78% | 0,76% | -5,65% |
| sept-05 | 0,93% | -1,10% | -5,07% |
| oct-05 | -2,19% | 2,38% | -4,12% |
| nov-05 | 3,82% | 4,73% | 8,39% |
| dc-05 | 0,19% | 7,09% | -1,18% |
| janv-06 | 3,90% | 6,08% | 5,05% |
| fvr-06 | -0,36% | 4,96% | -4,29% |
| mars-06 | 1,76% | -0,61% | 3,99% |
| avr-06 | 1,15% | 3,93% | -6,59% |
| mai-06 | -3,30% | 0,26% | -5,94% |
| juin-06 | -0,19% | 4,88% | -2,32% |
| juil-06 | -0,28% | 9,96% | 3,26% |
| aot-06 | 2,30% | 2,65% | 8,56% |
| sept-06 | 1,81% | -4,76% | 12,07% |
| oct-06 | 3,60% | 1,92% | 13,93% |
| nov-06 | 2,13% | 1,71% | 3,20% |
| dc-06 | 0,91% | 1,91% | 1,87% |
- Estimate and compare the returns and variability (i.e., annual standard deviation of the past five years) of Reynolds and Hasbro with that of the S&P 500 Index. Which stock generates higher annual returns? Which stock is riskier?
- Suppose Alex Sharpes position had been 99% of equity funds invested in S&P 500 and either 1% Reynolds or 1% in Hasbro. Estimate the resulting portfolio position. How does each stock affect the variability (i.e., standard deviation of each stock) of the equity investment? Which portfolio delivers the highest returns and highest risk (standard deviation)?
- Calculate the beta for each stock (i.e., Reynolds and Hasbro) from the stocks monthly returns and the index returns.
- Assume that the risk-free in the holding period of the investments rate is 3,0%.
- Calculate the rate of return for each portfolio, that is, 100% S&P 500 portfolio; or 99% S&P 500 and 1% Cash; or 99% S&P 500 and 1% Reynolds; or 99% S&P and 1% Hasbro.
- Calculate the Sharpe Ratio for the investments and identify which investment generates the highest risk-adjusted rate of return.
- In what portfolio (s) (if any) should Sharpe invest and why?
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