Question

Stocks:

50% of portfolio - Advanced Micro Devices, Inc. (AMD)

starting price: 30.9$ Closing price: 29.94$

50% of portfolio - Canopy Growth Corp (CGC)

Starting price: 24.21$ Closing price: 27.31$

Report the variance-covariance matrix

Option 1: Take estimates from the other web pages

You can take estimates of volatilities of individual stocks from Reuters, Bloomberg, Yahoo finance or other sources. If you are not quite sure how to estimate covariances between stocks:

You can take estimates of Reuters, Bloomberg or other credible web page.

Option 2: Compute by yourself using historical data

How to estimate variance-covariance matrix from historical data:

Hint: check my excel file.

Option 3: Less preferable

You can assume that all the covariances are zeroes. It is an option only if you are unable to do one of the two methods above.

Answer 1

Using Option 2, I extracted the past 1 year stock values (opening values) of both the stocks from Yahoo finance, and the Variance - Covariance Matrix estimated is as below.

Variance - Covariance Matrix
	AMD	CGC
CGC	2.85	60.33
AMD	23.46	2.85

Time period - 17th Sept 2018 to 16th Sept 2019 (1 year stock values)