Question

Use monthly data to compute the volatility and correlation between the NASDAQ and S&P returns over the last 1 year, over the last 2 years, and over the last 5 years. Show your results on a graph.

Answer 1

Date	Close	Date	Close	% CHANGE	% CHANGE
8/1/2015	1972.18	8/1/2015	4812.71
9/1/2015	1920.03	9/1/2015	4620.16	-2.64%	-4.00%
10/1/2015	2079.36	10/1/2015	5053.75	8.30%	9.38%
11/1/2015	2080.41	11/1/2015	5108.67	0.05%	1.09%		VOLATILITY	5 YEARS	4.51%
12/1/2015	2043.94	12/1/2015	5007.41	-1.75%	-1.98%
1/1/2016	1940.24	1/1/2016	4613.95	-5.07%	-7.86%
2/1/2016	1932.23	2/1/2016	4557.95	-0.41%	-1.21%		CORRELATION	5 YEARS	0.95
3/1/2016	2059.74	3/1/2016	4869.85	6.60%	6.84%
4/1/2016	2065.3	4/1/2016	4775.36	0.27%	-1.94%		VOLATILITY	2 YEARS	5.90%
5/1/2016	2096.95	5/1/2016	4948.05	1.53%	3.62%
6/1/2016	2098.86	6/1/2016	4842.67	0.09%	-2.13%
7/1/2016	2173.6	7/1/2016	5162.13	3.56%	6.60%		CORRELATION	2 YEARS	0.97
8/1/2016	2170.95	8/1/2016	5213.22	-0.12%	0.99%
9/1/2016	2168.27	9/1/2016	5312	-0.12%	1.89%		VOLATILITY	1 YEARS	6.01%
10/1/2016	2126.15	10/1/2016	5189.14	-1.94%	-2.31%
11/1/2016	2198.81	11/1/2016	5323.68	3.42%	2.59%
12/1/2016	2238.83	12/1/2016	5444.5	1.82%	2.27%		CORRELATION	1 YEARS	0.97
1/1/2017	2278.87	1/1/2017	5614.79	1.79%	3.13%
2/1/2017	2363.64	2/1/2017	5825.44	3.72%	3.75%
3/1/2017	2362.72	3/1/2017	5911.74	-0.04%	1.48%
4/1/2017	2384.2	4/1/2017	6047.61	0.91%	2.30%
5/1/2017	2411.8	5/1/2017	6198.52	1.16%	2.50%
6/1/2017	2423.41	6/1/2017	6140.42	0.48%	-0.94%
7/1/2017	2470.3	7/1/2017	6348.12	1.93%	3.38%
8/1/2017	2471.65	8/1/2017	6428.66	0.05%	1.27%
9/1/2017	2519.36	9/1/2017	6495.96	1.93%	1.05%
10/1/2017	2575.26	10/1/2017	6727.67	2.22%	3.57%
11/1/2017	2584.84	11/1/2017	6873.97	0.37%	2.17%
12/1/2017	2673.61	12/1/2017	6903.39	3.43%	0.43%
1/1/2018	2823.81	1/1/2018	7411.48	5.62%	7.36%
2/1/2018	2713.83	2/1/2018	7273.01	-3.89%	-1.87%
3/1/2018	2640.87	3/1/2018	7063.45	-2.69%	-2.88%
4/1/2018	2648.05	4/1/2018	7066.27	0.27%	0.04%
5/1/2018	2705.27	5/1/2018	7442.12	2.16%	5.32%
6/1/2018	2718.37	6/1/2018	7510.3	0.48%	0.92%
7/1/2018	2816.29	7/1/2018	7671.79	3.60%	2.15%
8/1/2018	2901.52	8/1/2018	8109.54	3.03%	5.71%
9/1/2018	2913.98	9/1/2018	8046.35	0.43%	-0.78%
10/1/2018	2711.74	10/1/2018	7305.9	-6.94%	-9.20%
11/1/2018	2760.17	11/1/2018	7330.54	1.79%	0.34%
12/1/2018	2506.85	12/1/2018	6635.28	-9.18%	-9.48%
1/1/2019	2704.1	1/1/2019	7281.74	7.87%	9.74%
2/1/2019	2784.49	2/1/2019	7532.53	2.97%	3.44%
3/1/2019	2834.4	3/1/2019	7729.32	1.79%	2.61%
4/1/2019	2945.83	4/1/2019	8095.39	3.93%	4.74%
5/1/2019	2752.06	5/1/2019	7453.15	-6.58%	-7.93%
6/1/2019	2941.76	6/1/2019	8006.24	6.89%	7.42%
7/1/2019	2980.38	7/1/2019	8175.42	1.31%	2.11%
8/1/2019	2926.46	8/1/2019	7962.88	-1.81%	-2.60%
9/1/2019	2976.74	9/1/2019	7999.34	1.72%	0.46%
10/1/2019	3037.56	10/1/2019	8292.36	2.04%	3.66%
11/1/2019	3140.98	11/1/2019	8665.47	3.40%	4.50%
12/1/2019	3230.78	12/1/2019	8972.6	2.86%	3.54%
1/1/2020	3225.52	1/1/2020	9150.94	-0.16%	1.99%
2/1/2020	2954.22	2/1/2020	8567.37	-8.41%	-6.38%
3/1/2020	2584.59	3/1/2020	7700.1	-12.51%	-10.12%
4/1/2020	2912.43	4/1/2020	8889.55	12.68%	15.45%
5/1/2020	3044.31	5/1/2020	9489.87	4.53%	6.75%
6/1/2020	3100.29	6/1/2020	10058.77	1.84%	5.99%
7/1/2020	3235.66	7/1/2020	10461.42	4.37%	4.00%