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2 - Stocks - Portfolios

The document contains information about the returns of two stocks (A and B) over three dates and the returns of portfolios with different weightings of stock A. It includes the mean returns, variances, covariances, and correlations for stocks A and B and the portfolios. Formulas were also used to calculate the mean, variance, and covariance for the portfolios from the stock return data.

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Kunal Deore
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69 views4 pages

2 - Stocks - Portfolios

The document contains information about the returns of two stocks (A and B) over three dates and the returns of portfolios with different weightings of stock A. It includes the mean returns, variances, covariances, and correlations for stocks A and B and the portfolios. Formulas were also used to calculate the mean, variance, and covariance for the portfolios from the stock return data.

Uploaded by

Kunal Deore
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Portfolios

Returns Weight in Stock A


Date stock A stock B 0.5 0.3 0.7 -0.3
1 1.00% 7.00% 4.00% 5.20% 2.80% 8.80%
2 4.00% 7.00% 5.50% 6.10% 4.90% 7.90%
3 3.00% 6.00% 4.50% 5.10% 3.90% 6.90%
Mean 2.67% 6.67% 4.67% 5.47% 3.87% 7.87%
Var 0.00023 0.00003 0.00006 0.00003 0.00011 0.00009
Stdev 1.53% 0.58%
Covar -0.000017
Correlation -0.19
FROM FORMULAS
Mean 4.67% 5.47% 3.87% 7.87%
Variance 0.00006 0.00003 0.00011 0.00009
Covariance by hand
1.3 Deviations Product
-0.80% -1.67% 0.33% -0.000056
3.10% 1.33% 0.33% 0.000044
2.10% 0.33% -0.67% -0.000022
1.47%
0.00041 covar -0.000017
correlation -0.19

1.47%
0.00041
Portfolios
Returns Weight in Stock A
Date stock A stock B 0.25
1 3.00% 5.00% 4.50%
2 2.00% 3.00% 2.75%
3 1.00% 4.00% 3.25%
4 0.00% -2.00% -1.50%
5 -1.00% 0.00% -0.25%
Mean 1.00% 2.00% 1.75%
Var 0.00025 0.00085 0.00063
Stdev 1.58% 2.92% 2.52%
Covar 0.000375
Correlation 0.81
FROM FORMULAS
Mean 1.75%
Variance 0.00063
Covariance by hand
Deviations Product
2.00% 3.00% 0.000600
1.00% 1.00% 0.000100
0.00% 2.00% 0.000000
-1.00% -4.00% 0.000400
-2.00% -2.00% 0.000400

covar 0.000750
correlation 1.63

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