D E F G H T J K L M N o P Q R s T U V w Y N AA AB AC B 1 Date S&P500 10 year bond 2 19900131 -0.068817 -0.024409 3 19900228 0.008539 -0.002074 4 19900330 0.024255 -0.001702 5 19900430 -0.026887 -0.017396 6 19900531 0.091989 0.032827 7 19900629 -0.008886 0.017846 8 19900731 -0.005223 0.011922 19900831 -0.094314 -0.025843 10 19900928 -0.051184 0.009186 11 19901031 -0.006698 0.018981 12 19901130 0.059934 0.030133 13 19901231 0.024828 0.019396 14 19910131 0.041518 0.010098 15 19910228 0.067281 0.006436 16 19910328 0.022203 0.004182 17 19910430 0.000346 0.0095 18 19910531 0.038577 0.004376 19 19910628 -0.047893 -0.006102 20 19910731 0.044859 0.013229 21 19910830 0.019649 0.025923 22 19910930 -0.019144 0.031095 23 19911031 0.01186 0.006005 24 19911129 -0.043928 0.008336 25 19911231 0.111588 0.054398 26 19920131 -0.0199 -0.024549 27 19920228 0.009565 0.008862 28 19920331 -0.021832 -0.007535 29 19920430 0.027893 0.003928 30 19920529 0.000964 0.021337 31 19920630 -0.017359 0.019971 32 19920731 0.039374 0.035683 33 19920831 -0.023998 0.009816 34 19920930 0.009106 0.019812 35 19921030 0.002106 -0.017524 36 19921130 0.030262 -0.00345 37 19921231 0.010108 0.022404 38 19930129 0.007046 0.027836 39 19930226 0.010484 0.026678 Data assignment 1 (Ctrl+) + D E F G H T J K L M N o P Q R s T U V w Y N AA AB AC A B 37 19921231 0.010108 0.022404 38 19930129 0.007046 0.027836 39 19930226 0.010484 0.026678 40 19930331 0.018697 0.005287 41 19930430 -0.025417 0.007802 42 19930528 0.022717 -0.000582 43 19930630 0.000755 0.032076 44 19930730 -0.005327 0.004442 45 19930831 0.034432 0.025066 46 19930930 -0.009988 0.00799 47 19931029 0.019393 0.004056 48 19931130 -0.012911 -0.017965 49 19931231 0.010091 0.005053 50 19940131 0.032501 0.017415 51 19940228 -0.030045 -0.031254 52 19940331 -0.045746 -0.03847 53 19940429 0.011531 -0.009781 54 19940531 0.012419 -0.00137 55 19940630 -0.026812 -0.00591 56 19940729 0.031467 0.019443 57 19940831 0.037643 0.003026 58 19940930 -0.026898 -0.023275 59 19941031 0.020834 -0.003948 60 19941130 -0.039505 -0.00129 61 19941230 0.012299 0.011198 62 19950131 0.024278 0.022922 63 19950228 0.036074 0.030014 64 19950331 0.027329 0.007195 65 19950428 0.02796 0.016973 66 19950531 0.036312 0.0549 67 19950630 0.021279 0.011343 68 19950731 0.031776 -0.008576 69 19950831 -0.00032 0.014105 70 19950929 0.040098 0.012995 71 19951031 -0.004979 0.016065 72 19951130 0.041049 0.022024 73 19951229 0.017444 0.017912 74 19960131 0.032617 0.006363 75 19960229_0.006934 -0.028964 Data assignment 1 # D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC A B 73 19951229 0.017444 0.017912 74 19960131 0.032617 0.006363 75 19960229 0.006934 -0.028964 76 19960329 0.007917 -0.010249 77 19960430 0.013431 -0.017066 78 19960531 0.022853 -0.00588 79 19960628 0.002257 0.014535 80 19960731 -0.045748 0.00053 81 19960830 0.018814 -0.00514 82 19960930 0.054173 0.022799 83 19961031 0.026131 0.029722 84 19961129 0.073376 0.026511 85 19961231 -0.021505 -0.021218 86 19970131 0.061317 -0.000088 87 19970228 0.005928 -0.002146 88 19970331 -0.042614 -0.019247 89 19970430 0.058406 0.019041 90 19970530 0.058577 0.011188 91 19970630 0.043453 0.017494 92 19970731 0.078123 0.040304 93 19970829 -0.057446 -0.020309 94 19970930 0.053154 0.022409 95 19971031 -0.034478 0.024771 96 19971128 0.044587 0.001182 97 19971231 0.015732 0.014809 98 19980130 0.01015 0.021106 99 19980227 0.070449 -0.007748 100 19980331 0.049946 0.002537 101 19980430 0.009076 0.003324 102 19980529 -0.018826 0.010086 103 19980630 0.039438 0.013545 104 19980731 -0.011615 0.000356 105 19980831 -0.145797 0.036926 106 19980930 0.062396 0.052732 107 19981030 0.080294 -0.010324 108 19981130 0.059126 -0.006612 109 19981231 0.056375 0.009652 110 19990129 0.041009 0.003291 111 19990226 -0.032283 -0.044006 Data assignment 1 # D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC B 109 19981231 0.056375 0.009652 110 19990129 0.041009 0.003291 111 19990226 -0.032283 -0.044006 112 19990331 0.038794 0.00863 113 19990430 0.037944 -0.003474 114 19990528 -0.02497 -0.022526 115 19990630 0.054438 -0.007152 116 19990730 -0.032046 -0.004171 117 19990831 -0.006254 -0.00452 118 19990930 -0.028552 0.012027 119 19991029 0.062539 -0.006109 120 19991130 0.019062 -0.00659 121 19991231 0.057844 -0.012402 122 20000131 -0.050904 -0.009799 123 20000229 -0.020108 0.0136 124 20000331 0.09672 0.034752 125 20000428 -0.030796 -0.010026 126 20000531 -0.021915 0.001771 127 20000630 0.023934 0.022074 128 20000731 -0.016341 0.00464 129 20000831 0.060699 0.016603 130 20000929 -0.053483 -0.001323 131 20001031 -0.004949 0.008647 132 20001130 -0.080069 0.025641 133 20001229 0.004053 0.030723 134 20010131 0.034637 0.004164 135 20010228 -0.092291 0.011636 136 20010330 -0.064205 0.00275 137 20010430 0.076814 -0.027449 138 20010531 0.00509 0.001373 139 20010629 -0.025004 0.002161 140 20010731 -0.010772 0.030526 141 20010831 -0.064108 0.015065 142 20010928 -0.081723 0.022599 143 20011031 0.018099 0.031821 144 20011130 0.075176 -0.035211 145 20011231 0.007574 -0.017354 146 20020131 -0.015574 0.004609 147 20020228 -0.020766 0.012027 Data assignment 1 + D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC B 145 20011231 0.007574 -0.017354 146 20020131 -0.015574 0.004609 147 20020228 -0.020766 0.012027 148 20020328 0.036739 -0.03679 149 20020430 -0.061418 0.029382 150 20020531 -0.009081 0.008136 151 20020628 -0.072465 0.021555 152 20020731 -0.078995 0.03077 153 20020830 0.004881 0.030178 154 20020930 -0.110013 0.04689 155 20021031 0.086436 -0.020221 156 20021129 0.05707 -0.021163 157 20021231 -0.060333 0.035968 158 20030131 -0.027415 -0.008285 159 20030228 -0.017004 0.02623 160 20030331 0.008358 -0.005652 161 20030430 0.081044 -0.000069 162 20030530 0.050899 0.042457 163 20030630 0.011322 -0.009082 164 20030731 0.016224 -0.066819 165 20030829 0.017873 0.004672 166 20030930 -0.011944 0.046768 167 20031031 0.054962 -0.024426 168 20031128 0.007129 0.001662 169 20031231 0.050765 0.010314 170 20040130 0.017276 0.012969 171 20040227 0.012209 0.017485 172 20040331 -0.016359 0.014356 173 20040430 -0.016791 -0.0491 174 20040528 0.012083 -0.006668 175 20040630 0.017989 0.01011 176 20040730 -0.034291 0.012083 177 20040831 0.002287 0.032191 178 20040930 0.009364 0.002804 179 20041029 0.014014 0.011145 180 20041130 0.038595 -0.017663 181 20041231 0.032458 0.013398 182 20050131 -0.02529 0.009351 183 20050228_0.018903 -0.013112 Data assignment 1 + D E F G H T J K L M N o P Q R s T U V w Y N AA AB AC A B 181 20041231 0.032458 0.013398 182 20050131 -0.02529 0.009351 183 20050228 0.018903 -0.013112 184 20050331 -0.019118 -0.004518 185 20050429 -0.020109 0.026104 186 20050531 0.029952 0.018363 187 20050630 -0.000143 0.009046 188 20050729 0.035968 -0.021346 189 20050831 -0.011222 0.020806 190 20050930 0.006949 -0.018281 191 20051031 -0.017741 -0.011898 192 20051130 0.035186 0.006295 193 20051230 -0.000952 0.011198 194 20060131 0.025467 -0.004563 195 20060228 0.000453 0.000153 196 20060331 0.011065 -0.019782 197 20060428 0.012187 -0.008795 198 20060531 -0.030917 -0.001047 199 20060630 0.000087 0.003077 200 20060731 0.005086 0.016418 201 20060831 0.021274 0.021575 202 20060929 0.024566 0.011343 203 20061031 0.031508 0.007074 204 20061130 0.016467 0.013674 205 20061229 0.012616 -0.015746 206 20070131 0.014059 -0.0036 207 20070228 -0.021846 0.019999 208 20070330 0.00998 -0.002247 209 20070430 0.043291 0.006799 210 20070531 0.032549 -0.014483 211 20070629 -0.017816 -0.006804 212 20070731 -0.031982 0.023884 213 20070831 0.012864 0.01713 214 20070928 0.035794 -0.00044 215 20071031 0.014822 0.013082 216 20071130 -0.044043 0.044192 217 20071231 -0.008628 -0.003627 218 20080131 -0.061163 0.038355 219 20080229 -0.034761 0.009265 Data assignment 1 + D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC B 217 20071231 -0.008628 -0.003627 218 20080131 -0.061163 0.038355 219 20080229 -0.034761 0.009265 220 20080331 -0.00596 0.011256 221 20080430 0.047547 -0.016442 222 20080530 0.010674 -0.018756 223 20080630 -0.085962 0.010754 224 20080731 -0.009859 0.005155 225 20080829 0.012191 0.015313 226 20080930 -0.090791 0.000875 227 20081031 -0.169425 -0.028592 228 20081128 -0.074849 0.085378 229 20081231 0.007822 0.056872 230 20090130 -0.085657 -0.044454 231 20090227 -0.109931 -0.00192 232 20090331 0.085405 0.032915 233 20090430 0.093925 -0.035787 234 20090529 0.053081 -0.016442 235 20090630 0.000196 0.002851 236 20090731 0.074142 0.008263 237 20090831 0.03356 0.010147 238 20090930 0.035723 0.010324 239 20091030 -0.019762 -0.003575 240 20091130 0.057364 0.018977 241 20091231 0.017771 -0.037937 242 20100129 -0.036974 0.020794 243 20100226 0.028514 0.002013 244 20100331 0.058796 -0.014016 245 20100430 0.014759 0.016503 246 20100528 -0.081976 0.025297 247 20100630 -0.053882 0.033857 248 20100730 0.068778 0.007935 249 20100831 -0.047449 0.035527 250 20100930 0.087551 -0.001972 251 20101029 0.036856 -0.005209 252 20101130 -0.00229 -0.007214 253 20101231 0.0653 -0.038909 254 20110131 0.022646 -0.000224 255 20110228 0.031957 -0.000203 Data assignment 1 + D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC A B 256 20110331 -0.001047 -0.000481 257 20110429 0.028495 0.014547 258 20110531 -0.013501 0.024937 259 20110630 -0.018258 -0.005929 260 20110729 -0.021474 0.031082 261 20110831 -0.056791 0.047503 262 20110930 -0.071762 0.029468 263 20111031 0.107723 -0.012101 264 20111130 -0.005059 0.008685 265 20111230 0.008533 0.019019 266 20120131 0.043583 0.008827 267 20120229 0.040589 -0.010592 268 20120330 0.031332 -0.019458 269 20120430 -0.007497 0.028413 270 20120531 -0.062651 0.03144 271 20120629 0.039555 -0.006625 272 20120731 0.012598 0.015792 273 20120831 0.019763 -0.002442 274 20120928 0.024236 -0.006372 275 20121031 -0.019789 -0.002909 276 20121130 0.002847 0.00938 277 20121231 0.007068 -0.008797 278 20130131 0.050428 -0.014939 279 20130228 0.011061 0.011635 280 20130328 0.035988 0.003768 281 20130430 0.018086 0.017563 282 20130531 0.020763 -0.031221 283 20130628 -0.014999 -0.029891 284 20130731 0.049462 -0.004527 285 20130830 -0.031298 -0.012869 286 20130930 0.029749 0.017924 287 20131031 0.044596 0.006915 288 20131129 0.028049 -0.012242 289 20131231 0.023563 -0.021754 290 291 292 293 294 Data assignment 1 # Under Assignments you can download an Excel file ("Data Assignment 1") which contains monthly returns for the S&P500 and the US 10 year bond index from January 1990 to December 2013. Calculate the average monthly return in % for both series. Indicate which of the following alternatives is closest to your calculations. O 0.60% (S&P500) and 0.50% (US 10yr Bond) O 0.60% (S&P500) and 0.60% (US 10yr Bond) O 0.70% (S&P500) and 0.50% (US 10yr Bond) O 0.70% (S&P500) and 0.60% (US 10yr Bond) Calculate the standard deviation for the same series. Indicate which of the following alternatives is closest to your calculations. O 5.0% (S&P500) and 5.0% (US 10yr Bond) O 5.0% (S&P500) and 2.5% (US 10yr Bond) O 2.5% (S&P500) and 5.0% (US 10yr Bond) O 2.5% (S&P500) and 2.5% (US 10yr Bond) Which of the following alternatives would you have expected? The S&P500 has higher returns and higher risk than the US 10yr Bond index. The S&P500 has lower returns and higher risk than the US 10yr Bond index. O The S&P500 has higher returns and lower risk than the US 10yr Bond index. O The S&P500 has lower returns and lower risk than the US 10yr Bond index. Create different portfolios with weights (weightS&P, weightBond) where weightBond = 1 - weightS&P. Let weightS&P equal 0%, 10%, 20%.... 100%. Calculate the average return and the standard deviation for each of the eleven portfolios. Which of the following portfolio has the lowest risk (as measured by the standard deviation)? The portfolio with 0% weight in the S&P500. The portfolio with 20% weight in the S&P500. The portfolio with 40% weight in the S&P500. The portfolio with 60% weight in the S&P500. D E F G H T J K L M N o P Q R s T U V w Y N AA AB AC B 1 Date S&P500 10 year bond 2 19900131 -0.068817 -0.024409 3 19900228 0.008539 -0.002074 4 19900330 0.024255 -0.001702 5 19900430 -0.026887 -0.017396 6 19900531 0.091989 0.032827 7 19900629 -0.008886 0.017846 8 19900731 -0.005223 0.011922 19900831 -0.094314 -0.025843 10 19900928 -0.051184 0.009186 11 19901031 -0.006698 0.018981 12 19901130 0.059934 0.030133 13 19901231 0.024828 0.019396 14 19910131 0.041518 0.010098 15 19910228 0.067281 0.006436 16 19910328 0.022203 0.004182 17 19910430 0.000346 0.0095 18 19910531 0.038577 0.004376 19 19910628 -0.047893 -0.006102 20 19910731 0.044859 0.013229 21 19910830 0.019649 0.025923 22 19910930 -0.019144 0.031095 23 19911031 0.01186 0.006005 24 19911129 -0.043928 0.008336 25 19911231 0.111588 0.054398 26 19920131 -0.0199 -0.024549 27 19920228 0.009565 0.008862 28 19920331 -0.021832 -0.007535 29 19920430 0.027893 0.003928 30 19920529 0.000964 0.021337 31 19920630 -0.017359 0.019971 32 19920731 0.039374 0.035683 33 19920831 -0.023998 0.009816 34 19920930 0.009106 0.019812 35 19921030 0.002106 -0.017524 36 19921130 0.030262 -0.00345 37 19921231 0.010108 0.022404 38 19930129 0.007046 0.027836 39 19930226 0.010484 0.026678 Data assignment 1 (Ctrl+) + D E F G H T J K L M N o P Q R s T U V w Y N AA AB AC A B 37 19921231 0.010108 0.022404 38 19930129 0.007046 0.027836 39 19930226 0.010484 0.026678 40 19930331 0.018697 0.005287 41 19930430 -0.025417 0.007802 42 19930528 0.022717 -0.000582 43 19930630 0.000755 0.032076 44 19930730 -0.005327 0.004442 45 19930831 0.034432 0.025066 46 19930930 -0.009988 0.00799 47 19931029 0.019393 0.004056 48 19931130 -0.012911 -0.017965 49 19931231 0.010091 0.005053 50 19940131 0.032501 0.017415 51 19940228 -0.030045 -0.031254 52 19940331 -0.045746 -0.03847 53 19940429 0.011531 -0.009781 54 19940531 0.012419 -0.00137 55 19940630 -0.026812 -0.00591 56 19940729 0.031467 0.019443 57 19940831 0.037643 0.003026 58 19940930 -0.026898 -0.023275 59 19941031 0.020834 -0.003948 60 19941130 -0.039505 -0.00129 61 19941230 0.012299 0.011198 62 19950131 0.024278 0.022922 63 19950228 0.036074 0.030014 64 19950331 0.027329 0.007195 65 19950428 0.02796 0.016973 66 19950531 0.036312 0.0549 67 19950630 0.021279 0.011343 68 19950731 0.031776 -0.008576 69 19950831 -0.00032 0.014105 70 19950929 0.040098 0.012995 71 19951031 -0.004979 0.016065 72 19951130 0.041049 0.022024 73 19951229 0.017444 0.017912 74 19960131 0.032617 0.006363 75 19960229_0.006934 -0.028964 Data assignment 1 # D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC A B 73 19951229 0.017444 0.017912 74 19960131 0.032617 0.006363 75 19960229 0.006934 -0.028964 76 19960329 0.007917 -0.010249 77 19960430 0.013431 -0.017066 78 19960531 0.022853 -0.00588 79 19960628 0.002257 0.014535 80 19960731 -0.045748 0.00053 81 19960830 0.018814 -0.00514 82 19960930 0.054173 0.022799 83 19961031 0.026131 0.029722 84 19961129 0.073376 0.026511 85 19961231 -0.021505 -0.021218 86 19970131 0.061317 -0.000088 87 19970228 0.005928 -0.002146 88 19970331 -0.042614 -0.019247 89 19970430 0.058406 0.019041 90 19970530 0.058577 0.011188 91 19970630 0.043453 0.017494 92 19970731 0.078123 0.040304 93 19970829 -0.057446 -0.020309 94 19970930 0.053154 0.022409 95 19971031 -0.034478 0.024771 96 19971128 0.044587 0.001182 97 19971231 0.015732 0.014809 98 19980130 0.01015 0.021106 99 19980227 0.070449 -0.007748 100 19980331 0.049946 0.002537 101 19980430 0.009076 0.003324 102 19980529 -0.018826 0.010086 103 19980630 0.039438 0.013545 104 19980731 -0.011615 0.000356 105 19980831 -0.145797 0.036926 106 19980930 0.062396 0.052732 107 19981030 0.080294 -0.010324 108 19981130 0.059126 -0.006612 109 19981231 0.056375 0.009652 110 19990129 0.041009 0.003291 111 19990226 -0.032283 -0.044006 Data assignment 1 # D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC B 109 19981231 0.056375 0.009652 110 19990129 0.041009 0.003291 111 19990226 -0.032283 -0.044006 112 19990331 0.038794 0.00863 113 19990430 0.037944 -0.003474 114 19990528 -0.02497 -0.022526 115 19990630 0.054438 -0.007152 116 19990730 -0.032046 -0.004171 117 19990831 -0.006254 -0.00452 118 19990930 -0.028552 0.012027 119 19991029 0.062539 -0.006109 120 19991130 0.019062 -0.00659 121 19991231 0.057844 -0.012402 122 20000131 -0.050904 -0.009799 123 20000229 -0.020108 0.0136 124 20000331 0.09672 0.034752 125 20000428 -0.030796 -0.010026 126 20000531 -0.021915 0.001771 127 20000630 0.023934 0.022074 128 20000731 -0.016341 0.00464 129 20000831 0.060699 0.016603 130 20000929 -0.053483 -0.001323 131 20001031 -0.004949 0.008647 132 20001130 -0.080069 0.025641 133 20001229 0.004053 0.030723 134 20010131 0.034637 0.004164 135 20010228 -0.092291 0.011636 136 20010330 -0.064205 0.00275 137 20010430 0.076814 -0.027449 138 20010531 0.00509 0.001373 139 20010629 -0.025004 0.002161 140 20010731 -0.010772 0.030526 141 20010831 -0.064108 0.015065 142 20010928 -0.081723 0.022599 143 20011031 0.018099 0.031821 144 20011130 0.075176 -0.035211 145 20011231 0.007574 -0.017354 146 20020131 -0.015574 0.004609 147 20020228 -0.020766 0.012027 Data assignment 1 + D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC B 145 20011231 0.007574 -0.017354 146 20020131 -0.015574 0.004609 147 20020228 -0.020766 0.012027 148 20020328 0.036739 -0.03679 149 20020430 -0.061418 0.029382 150 20020531 -0.009081 0.008136 151 20020628 -0.072465 0.021555 152 20020731 -0.078995 0.03077 153 20020830 0.004881 0.030178 154 20020930 -0.110013 0.04689 155 20021031 0.086436 -0.020221 156 20021129 0.05707 -0.021163 157 20021231 -0.060333 0.035968 158 20030131 -0.027415 -0.008285 159 20030228 -0.017004 0.02623 160 20030331 0.008358 -0.005652 161 20030430 0.081044 -0.000069 162 20030530 0.050899 0.042457 163 20030630 0.011322 -0.009082 164 20030731 0.016224 -0.066819 165 20030829 0.017873 0.004672 166 20030930 -0.011944 0.046768 167 20031031 0.054962 -0.024426 168 20031128 0.007129 0.001662 169 20031231 0.050765 0.010314 170 20040130 0.017276 0.012969 171 20040227 0.012209 0.017485 172 20040331 -0.016359 0.014356 173 20040430 -0.016791 -0.0491 174 20040528 0.012083 -0.006668 175 20040630 0.017989 0.01011 176 20040730 -0.034291 0.012083 177 20040831 0.002287 0.032191 178 20040930 0.009364 0.002804 179 20041029 0.014014 0.011145 180 20041130 0.038595 -0.017663 181 20041231 0.032458 0.013398 182 20050131 -0.02529 0.009351 183 20050228_0.018903 -0.013112 Data assignment 1 + D E F G H T J K L M N o P Q R s T U V w Y N AA AB AC A B 181 20041231 0.032458 0.013398 182 20050131 -0.02529 0.009351 183 20050228 0.018903 -0.013112 184 20050331 -0.019118 -0.004518 185 20050429 -0.020109 0.026104 186 20050531 0.029952 0.018363 187 20050630 -0.000143 0.009046 188 20050729 0.035968 -0.021346 189 20050831 -0.011222 0.020806 190 20050930 0.006949 -0.018281 191 20051031 -0.017741 -0.011898 192 20051130 0.035186 0.006295 193 20051230 -0.000952 0.011198 194 20060131 0.025467 -0.004563 195 20060228 0.000453 0.000153 196 20060331 0.011065 -0.019782 197 20060428 0.012187 -0.008795 198 20060531 -0.030917 -0.001047 199 20060630 0.000087 0.003077 200 20060731 0.005086 0.016418 201 20060831 0.021274 0.021575 202 20060929 0.024566 0.011343 203 20061031 0.031508 0.007074 204 20061130 0.016467 0.013674 205 20061229 0.012616 -0.015746 206 20070131 0.014059 -0.0036 207 20070228 -0.021846 0.019999 208 20070330 0.00998 -0.002247 209 20070430 0.043291 0.006799 210 20070531 0.032549 -0.014483 211 20070629 -0.017816 -0.006804 212 20070731 -0.031982 0.023884 213 20070831 0.012864 0.01713 214 20070928 0.035794 -0.00044 215 20071031 0.014822 0.013082 216 20071130 -0.044043 0.044192 217 20071231 -0.008628 -0.003627 218 20080131 -0.061163 0.038355 219 20080229 -0.034761 0.009265 Data assignment 1 + D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC B 217 20071231 -0.008628 -0.003627 218 20080131 -0.061163 0.038355 219 20080229 -0.034761 0.009265 220 20080331 -0.00596 0.011256 221 20080430 0.047547 -0.016442 222 20080530 0.010674 -0.018756 223 20080630 -0.085962 0.010754 224 20080731 -0.009859 0.005155 225 20080829 0.012191 0.015313 226 20080930 -0.090791 0.000875 227 20081031 -0.169425 -0.028592 228 20081128 -0.074849 0.085378 229 20081231 0.007822 0.056872 230 20090130 -0.085657 -0.044454 231 20090227 -0.109931 -0.00192 232 20090331 0.085405 0.032915 233 20090430 0.093925 -0.035787 234 20090529 0.053081 -0.016442 235 20090630 0.000196 0.002851 236 20090731 0.074142 0.008263 237 20090831 0.03356 0.010147 238 20090930 0.035723 0.010324 239 20091030 -0.019762 -0.003575 240 20091130 0.057364 0.018977 241 20091231 0.017771 -0.037937 242 20100129 -0.036974 0.020794 243 20100226 0.028514 0.002013 244 20100331 0.058796 -0.014016 245 20100430 0.014759 0.016503 246 20100528 -0.081976 0.025297 247 20100630 -0.053882 0.033857 248 20100730 0.068778 0.007935 249 20100831 -0.047449 0.035527 250 20100930 0.087551 -0.001972 251 20101029 0.036856 -0.005209 252 20101130 -0.00229 -0.007214 253 20101231 0.0653 -0.038909 254 20110131 0.022646 -0.000224 255 20110228 0.031957 -0.000203 Data assignment 1 + D E F G I H T J K L M N o P Q R s T U V w Y N AA AB AC A B 256 20110331 -0.001047 -0.000481 257 20110429 0.028495 0.014547 258 20110531 -0.013501 0.024937 259 20110630 -0.018258 -0.005929 260 20110729 -0.021474 0.031082 261 20110831 -0.056791 0.047503 262 20110930 -0.071762 0.029468 263 20111031 0.107723 -0.012101 264 20111130 -0.005059 0.008685 265 20111230 0.008533 0.019019 266 20120131 0.043583 0.008827 267 20120229 0.040589 -0.010592 268 20120330 0.031332 -0.019458 269 20120430 -0.007497 0.028413 270 20120531 -0.062651 0.03144 271 20120629 0.039555 -0.006625 272 20120731 0.012598 0.015792 273 20120831 0.019763 -0.002442 274 20120928 0.024236 -0.006372 275 20121031 -0.019789 -0.002909 276 20121130 0.002847 0.00938 277 20121231 0.007068 -0.008797 278 20130131 0.050428 -0.014939 279 20130228 0.011061 0.011635 280 20130328 0.035988 0.003768 281 20130430 0.018086 0.017563 282 20130531 0.020763 -0.031221 283 20130628 -0.014999 -0.029891 284 20130731 0.049462 -0.004527 285 20130830 -0.031298 -0.012869 286 20130930 0.029749 0.017924 287 20131031 0.044596 0.006915 288 20131129 0.028049 -0.012242 289 20131231 0.023563 -0.021754 290 291 292 293 294 Data assignment 1 # Under Assignments you can download an Excel file ("Data Assignment 1") which contains monthly returns for the S&P500 and the US 10 year bond index from January 1990 to December 2013. Calculate the average monthly return in % for both series. Indicate which of the following alternatives is closest to your calculations. O 0.60% (S&P500) and 0.50% (US 10yr Bond) O 0.60% (S&P500) and 0.60% (US 10yr Bond) O 0.70% (S&P500) and 0.50% (US 10yr Bond) O 0.70% (S&P500) and 0.60% (US 10yr Bond) Calculate the standard deviation for the same series. Indicate which of the following alternatives is closest to your calculations. O 5.0% (S&P500) and 5.0% (US 10yr Bond) O 5.0% (S&P500) and 2.5% (US 10yr Bond) O 2.5% (S&P500) and 5.0% (US 10yr Bond) O 2.5% (S&P500) and 2.5% (US 10yr Bond) Which of the following alternatives would you have expected? The S&P500 has higher returns and higher risk than the US 10yr Bond index. The S&P500 has lower returns and higher risk than the US 10yr Bond index. O The S&P500 has higher returns and lower risk than the US 10yr Bond index. O The S&P500 has lower returns and lower risk than the US 10yr Bond index. Create different portfolios with weights (weightS&P, weightBond) where weightBond = 1 - weightS&P. Let weightS&P equal 0%, 10%, 20%.... 100%. Calculate the average return and the standard deviation for each of the eleven portfolios. Which of the following portfolio has the lowest risk (as measured by the standard deviation)? The portfolio with 0% weight in the S&P500. The portfolio with 20% weight in the S&P500. The portfolio with 40% weight in the S&P500. The portfolio with 60% weight in the S&P500