The market has been divided into two period from 1960s-2000

Republican versus Democrat months 

Make sure calculations are in the same units: Percentages or decimals

 

1. Compute the following risk measures for each time period: Average (arithmetic) monthly return, standard deviation, and Sharpe Ratio 
2.  During each President's term, compute the following risk measures: Average (arithmetic) monthly return, standard deviation, and Sharpe Ratio
3.  Create graphs/tables to display your results; Include the overall market analysis and the term‐by‐term results
4.   

Transcribed Image Text:

Annual Factors: January-December Mkt-RF SMB 1960 -1.46 1961 24.81 1962 -12.9 -8.34 1963 17.84 -6.06 1964 12.54 -0.76 1965 10.52 22.05 1966 -13.51 2.93 1967 24.49 49.63 1968 8.79 24.17 1969 -17.54 -14.12 1970 -6.49 -11.76 1971 11.78 1972 13.05 -12.26 1973 -26.18 -23.45 1974 -35.75 -0.72 1975 32.44 15.43 1976 21.91 14.58 1977 -8.26 22.6 1978 1.03 14.39 1979 13.09 21.23 1980 22.13 5.7 1981 -18.13 7.13 1982 10.66 8.7 1983 13.75 14.03 1984 -6.05 -8.2 -2.72 1.51 -4.55 5.14 9.02 15.45 9.65 6.95 -1.14 -7.3 18.49 -9.95 21.54 5.98 -11.26 HML 1.76 17.47 9.87 9.25 24.28 7.5 0.59 -2.48 -24.63 25.12 13.36 20.49 19.07 RF 2.66 2.13 2.73 3.12 3.54 3.93 4.76 4.21 5.21 6.58 6.52 4.39 3.84 6.93 8 5.8 5.08 5.12 7.18 10.38 11.24 14.71 10.54 8.8 9.85 Dwight D. Eisenhower John F. Kennedy John F. Kennedy Lyndon B. Johnson Lyndon B. Johnson Lyndon B. Johnson Lyndon B. Johnson Lyndon B. Johnson. Lyndon B. Johnson. Richard M. Nixon Richard M. Nixon Richard M. Nixon Richard M. Nixon Richard M. Nixon Gerald Ford Gerald Ford Gerald Ford Jimmy Carter Jimmy Carter Jimmy Carter Jimmy Carter Ronald Reagan Ronald Reagan Ronald Reagan Ronald Reagan Republican Democrat Democrat Democrat Democrat Democrat Democrat Democrat Democrat Republican Republican Republican Republican Republican Republican Republican Republican Democrat Democrat Democrat Democrat Republican Republican Republican Republican Annual Factors: January-December Mkt-RF SMB 1960 -1.46 1961 24.81 1962 -12.9 -8.34 1963 17.84 -6.06 1964 12.54 -0.76 1965 10.52 22.05 1966 -13.51 2.93 1967 24.49 49.63 1968 8.79 24.17 1969 -17.54 -14.12 1970 -6.49 -11.76 1971 11.78 1972 13.05 -12.26 1973 -26.18 -23.45 1974 -35.75 -0.72 1975 32.44 15.43 1976 21.91 14.58 1977 -8.26 22.6 1978 1.03 14.39 1979 13.09 21.23 1980 22.13 5.7 1981 -18.13 7.13 1982 10.66 8.7 1983 13.75 14.03 1984 -6.05 -8.2 -2.72 1.51 -4.55 5.14 9.02 15.45 9.65 6.95 -1.14 -7.3 18.49 -9.95 21.54 5.98 -11.26 HML 1.76 17.47 9.87 9.25 24.28 7.5 0.59 -2.48 -24.63 25.12 13.36 20.49 19.07 RF 2.66 2.13 2.73 3.12 3.54 3.93 4.76 4.21 5.21 6.58 6.52 4.39 3.84 6.93 8 5.8 5.08 5.12 7.18 10.38 11.24 14.71 10.54 8.8 9.85 Dwight D. Eisenhower John F. Kennedy John F. Kennedy Lyndon B. Johnson Lyndon B. Johnson Lyndon B. Johnson Lyndon B. Johnson Lyndon B. Johnson. Lyndon B. Johnson. Richard M. Nixon Richard M. Nixon Richard M. Nixon Richard M. Nixon Richard M. Nixon Gerald Ford Gerald Ford Gerald Ford Jimmy Carter Jimmy Carter Jimmy Carter Jimmy Carter Ronald Reagan Ronald Reagan Ronald Reagan Ronald Reagan Republican Democrat Democrat Democrat Democrat Democrat Democrat Democrat Democrat Republican Republican Republican Republican Republican Republican Republican Republican Democrat Democrat Democrat Democrat Republican Republican Republican Republican

Answer rating: 100% (QA)

Analyzing Market Returns by Period and President This data allows us to analyze historical market pe... View the full answer