iv. Compute the average return, standard deviation, and the Sharpe ratio of the portfolio that invests 80% in Exxon and 20% in Darden (5 points)

v. Does the existence of Exxon and Darden violate the CAPM? (Hint: You will need to use the data on the market excess returns). (5 points)

0.16 0.16 0.21 0.21 0.24 0.23 0.24 0.3 0.29 0.27 0.31 0.32 0.35 0.34 0.37 0.36 0.43 0.4 0.4 0.42 0.41 0.41 0.42 Date XOM DRI MKT RF 2005/1/3 0.662983 6.558045 -2.66 2005/2/1 23.29308 -9.32722 2.27 2005/3/1 -5.85826 14.46037 -1.69 2005/4/1 -4.31246 -2.06262 -2.52 2005/5/2 -0.96857 8.236179 3.79 2005/6/1 2.275449 1.563586 1.15 2005/7/1 2.224824 5.200137 4.33 2005/8/1 2.443681 -9.49593 -0.59 2005/9/1 6.093925 -3.30579 1.06 2005/10/3 -11.6459 7.469342 -2.08 2005/11/1 3.87674 10.37344 4.04 2005/12/1 -3.19617 8.677945 0.35 2006/1/3 11.70423 4.554627 4.01 2006/2/1 -4.88496 3.170664 -0.16 2006/3/1 2.512095 -2.19134 1.91 2006/4/3 3.648575 -3.00546 1.3 2006/5/1 -2.94221 -10.5634 -3.1 2006/6/1 0.721761 11.24409 -0.04 2006/7/3 10.40846 -14.2129 -0.19 2006/8/1 0.356969 4.752475 2.51 2006/9/1 -0.84074 19.9748 1.95 2006/10/2 6.440567 -0.84034 3.71 2006/11/1 8.011642 -4.15784 2.37 2006/12/1 -0.22692 0.027632 1.08 2007/1/3 -3.31201 -2.54144 1.94 2007/2/1 -2.8521 4.705215 -1.4 2007/3/1 5.266344 0.487277 1.29 2007/4/2 5.20414 1.266164 3.99 2007/5/1 5.23367 9.869646 3.89 2007/6/1 0.844046 -3.46247 -1.48 2007/7/2 1.49369 -2.83421 -3.18 2007/8/1 1.103781 -2.29737 1.16 2007/9/4 7.968377 0.634082 4.09 2007/10/1 -0.61599 3.150433 2.58 2007/11/1 -2.70144 -7.45737 -4.93 2007/12/3 5.084135 -30.363 -0.43 2008/1/2 -8.53254 3.00158 -6.23 2008/2/1 1.975741 8.819018 -2.2 2008/3/3 -2.79583 5.567301 -1.05 2008/4/1 10.04163 9.87984 5.12 2008/5/1 -4.20727 -3.73633 2.38 2008/6/2 -0.70608 -6.75292 -7.86 2008/7/1 -8.7381 2.639594 - 1.32 2008/8/1 -0.01321 - 10.089 1.1 2008/9/2 -2.94545 -2.23689 -9.81 2008/10/1 -4.55906 -21.943 -18.47 2008/11/3 8.769428 -17.4916 -8.52 2008/12/1 -0.4064 54.04776 2.15 2009/1/2 -4.19903 -6.3138 -7.74 0.4 0.44 0.38 0.43 0.44 0.41 0.4 0.4 0.42 0.32 0.32 0.34 0.27 0.21 0.13 0.17 0.17 0.17 0.17 0.15 0.12 0.15 0.08 0.02 0.09 0 -7.74 -10.1 0 0.01 0.01 0.01 8.77 11.06 6.73 0 0 2009/1/2 -4.19903 -6.3138 2009/2/2 -10.7722 3.510896 2009/3/2 0.292578 26.23782 2009/4/1 -2.08813 88.52378 2009/5/1 4.641681 -2.16278 2009/6/1 0.794245 -8.81326 2009/7/1 0.698781 -1.02073 2009/8/3 -1.1664 1.643571 2009/9/1 -0.77682 3.646164 2009/10/1 4.456489 -10.5231 2009/11/2 5.347362 3.692308 2009/12/1 -9.16678 11.60567 -0.28 88.25 0.01 3.19 0.01 4.52 0 -2.4 0 5.74 0 2.92 0 0.16 0.16 0.21 0.21 0.24 0.23 0.24 0.3 0.29 0.27 0.31 0.32 0.35 0.34 0.37 0.36 0.43 0.4 0.4 0.42 0.41 0.41 0.42 Date XOM DRI MKT RF 2005/1/3 0.662983 6.558045 -2.66 2005/2/1 23.29308 -9.32722 2.27 2005/3/1 -5.85826 14.46037 -1.69 2005/4/1 -4.31246 -2.06262 -2.52 2005/5/2 -0.96857 8.236179 3.79 2005/6/1 2.275449 1.563586 1.15 2005/7/1 2.224824 5.200137 4.33 2005/8/1 2.443681 -9.49593 -0.59 2005/9/1 6.093925 -3.30579 1.06 2005/10/3 -11.6459 7.469342 -2.08 2005/11/1 3.87674 10.37344 4.04 2005/12/1 -3.19617 8.677945 0.35 2006/1/3 11.70423 4.554627 4.01 2006/2/1 -4.88496 3.170664 -0.16 2006/3/1 2.512095 -2.19134 1.91 2006/4/3 3.648575 -3.00546 1.3 2006/5/1 -2.94221 -10.5634 -3.1 2006/6/1 0.721761 11.24409 -0.04 2006/7/3 10.40846 -14.2129 -0.19 2006/8/1 0.356969 4.752475 2.51 2006/9/1 -0.84074 19.9748 1.95 2006/10/2 6.440567 -0.84034 3.71 2006/11/1 8.011642 -4.15784 2.37 2006/12/1 -0.22692 0.027632 1.08 2007/1/3 -3.31201 -2.54144 1.94 2007/2/1 -2.8521 4.705215 -1.4 2007/3/1 5.266344 0.487277 1.29 2007/4/2 5.20414 1.266164 3.99 2007/5/1 5.23367 9.869646 3.89 2007/6/1 0.844046 -3.46247 -1.48 2007/7/2 1.49369 -2.83421 -3.18 2007/8/1 1.103781 -2.29737 1.16 2007/9/4 7.968377 0.634082 4.09 2007/10/1 -0.61599 3.150433 2.58 2007/11/1 -2.70144 -7.45737 -4.93 2007/12/3 5.084135 -30.363 -0.43 2008/1/2 -8.53254 3.00158 -6.23 2008/2/1 1.975741 8.819018 -2.2 2008/3/3 -2.79583 5.567301 -1.05 2008/4/1 10.04163 9.87984 5.12 2008/5/1 -4.20727 -3.73633 2.38 2008/6/2 -0.70608 -6.75292 -7.86 2008/7/1 -8.7381 2.639594 - 1.32 2008/8/1 -0.01321 - 10.089 1.1 2008/9/2 -2.94545 -2.23689 -9.81 2008/10/1 -4.55906 -21.943 -18.47 2008/11/3 8.769428 -17.4916 -8.52 2008/12/1 -0.4064 54.04776 2.15 2009/1/2 -4.19903 -6.3138 -7.74 0.4 0.44 0.38 0.43 0.44 0.41 0.4 0.4 0.42 0.32 0.32 0.34 0.27 0.21 0.13 0.17 0.17 0.17 0.17 0.15 0.12 0.15 0.08 0.02 0.09 0 -7.74 -10.1 0 0.01 0.01 0.01 8.77 11.06 6.73 0 0 2009/1/2 -4.19903 -6.3138 2009/2/2 -10.7722 3.510896 2009/3/2 0.292578 26.23782 2009/4/1 -2.08813 88.52378 2009/5/1 4.641681 -2.16278 2009/6/1 0.794245 -8.81326 2009/7/1 0.698781 -1.02073 2009/8/3 -1.1664 1.643571 2009/9/1 -0.77682 3.646164 2009/10/1 4.456489 -10.5231 2009/11/2 5.347362 3.692308 2009/12/1 -9.16678 11.60567 -0.28 88.25 0.01 3.19 0.01 4.52 0 -2.4 0 5.74 0 2.92 0