PLEASE USE EXCEL SHEET TO PROVIDE ANSWERS.

*additional information:

for D) the annual risk free rate has to be converted in monthly rate because the returns are given in monthly

for E) we need to interpret by using the slope of the returns

Question 1: Below are the monthly returns for the stocks ABL and HHT as well as the returns on the market. ABL's returns: (7.6%, 3.2%, -3.4%, 8.6%, 0.5%, 1.4%, -1.4%, 1.9%, 21.3%, -3.6%, -1.9%, 2.5%) HHT's returns: (4.6%, -4.9%, 4.7%, 4.4%, -0.8%, -4.6%, 0.1%, 3.7%, -6.1%, -1.1%, 1%, 18.4%) The market returns were: (2.3%, -6.8%, 1.3%, 7.6%, 0%, -1%, 3.6%, -6.2%, -1.4%, 1.8%, 2.5%, 9.3%) Using the information above, perform each of the following tasks: a) Compute the first four moments (mean, standard deviation, skew, kurtosis) for the returns for ABL [use stdev/skew/kurt in excel] b) Compute the geometric average return for HHT c) Compute the correlation between the returns of ABL and HTT d) Compute the standard deviation and Sharpe ratio for a portfolio that has 40% of funds invested in ABL and the remainder in HHT if the risk-free rate is 0.18% per year. e) Find the beta for ABL and HHT. Which stock of the two is more defensive