Rates of Return 1926-2013 World Portfolios US Markets Year World Equity Return in US Dollars World...

Rates of Return 1926-2013
	World Portfolios		US Markets
Year	World Equity Return in US Dollars	World Bond Return in US Dollars	Small Stocks	Large Stock	Long-Term T-Bonds	T-Bills	Inflation	Real T-bill Rates
1926	25.24	8.10	-8.91	12.21	4.54	3.19	-1.12	4.36
1927	23.15	9.62	33.99	35.99	8.11	3.12	-2.26	5.50
1928	28.62	2.44	51.46	39.29	-0.93	3.56	-1.16	4.77
1929	-12.56	3.45	-49.25	-7.66	4.41	4.75	0.59	4.14
1930	-22.6	6.04	-48.04	-25.90	6.22	2.41	-6.40	9.41
1931	-39.94	-12.32	-53.19	-45.56	-5.31	1.07	-9.32	11.45
1932	1.46	18.26	7.75	-9.14	11.89	0.96	-10.27	12.52
1933	70.81	29.26	159.05	54.56	1.03	0.3	0.76	-0.46
1934	0.15	3.87	28.47	-2.32	10.15	0.16	1.52	-1.33
1935	22.44	-1.41	68.82	45.67	4.98	0.17	2.99	-2.73
1936	18.84	-0.49	77.53	33.55	6.52	0.18	1.45	-1.25
1937	-17.7	-0.96	-54.27	-36.03	0.43	0.31	2.86	-2.48
1938	6.21	0.65	16.6	29.42	5.25	-0.02	-2.78	2.84
1939	-5.6	-5.11	-6.28	-1.06	5.90	0.02	0.00	0.02
1940	7.97	11.32	-15.26	-9.65	6.54	0	0.71	-0.71
1941	13.26	5.61	-12.66	-11.20	0.99	0.06	9.93	-8.98
1942	-0.56	-3.69	38.94	20.80	5.39	0.27	9.03	-8.04
1943	19.3	2.76	109.87	26.54	4.87	0.35	2.96	-2.53
1944	13.49	3.02	60.34	20.96	3.59	0.33	2.30	-1.92
1945	13.72	0.08	77.93	36.11	6.84	0.33	2.25	-1.87
1946	-16.91	-13.50	-13.16	-9.26	0.15	0.35	18.13	-15.05
1947	-1.09	-8.46	-1.52	4.88	-1.19	0.5	8.88	-7.70
1948	3.06	5.59	-5.84	5.29	3.07	0.81	2.73	-1.87
1949	17.35	1.83	21.22	18.24	6.03	1.1	-1.83	2.98
1950	24.44	2.52	46.86	32.68	-0.96	1.2	5.80	-4.35
1951	28.69	0.60	6.66	23.47	-1.95	1.49	5.97	-4.22
1952	14.21	4.73	5.05	18.91	1.93	1.66	0.91	0.75
1953	5.37	3.74	-5.59	-1.74	3.83	1.82	0.60	1.21
1954	48.2	7.66	63.49	52.55	4.88	0.86	-0.37	1.24
1955	22.94	0.20	24.61	31.44	-1.34	1.57	0.37	1.19
1956	8.62	-4.28	4.31	6.45	-5.12	2.46	2.83	-0.36
1957	-6.86	2.97	-13.99	-11.14	9.46	3.14	3.04	0.10
1958	36.78	-0.42	65.46	43.78	-3.71	1.54	1.76	-0.21
1959	24.96	0.47	21.83	12.95	-3.55	2.95	1.52	1.41
1960	7.71	10.46	-4.72	0.19	13.78	2.66	1.36	1.28
1961	19.86	1.99	29.48	27.63	0.19	2.13	0.67	1.45
1962	-7.2	9.59	-11.56	-8.79	6.81	2.73	1.23	1.48
1963	14.35	2.76	18.45	22.63	-0.49	3.12	1.65	1.45
1964	11.05	3.20	19.07	16.67	4.51	3.54	1.20	2.31
1965	10.49	2.84	39.2	12.50	-0.27	3.93	1.92	1.97
1966	-6.47	5.36	-6.94	-10.25	3.70	4.76	3.36	1.36
1967	23.75	-3.28	104.33	24.11	-7.41	4.21	3.28	0.90
1968	19.92	2.11	50.43	11.00	-1.20	5.21	4.71	0.48
1969	-6.21	-2.35	-31.43	-8.33	-6.52	6.58	5.90	0.64
1970	-5.71	9.76	-17.88	4.10	12.69	6.52	5.57	0.90
1971	15.59	15.01	18.07	14.17	17.47	4.39	3.27	1.09
1972	19.96	7.90	0.14	19.14	5.55	3.84	3.41	0.42
1973	-17.08	4.39	-38.23	-14.75	1.40	6.93	8.94	-1.85
1974	-27.83	5.08	-27.39	-26.40	5.53	8	12.10	-3.65
1975	28.91	7.44	59.79	37.26	8.50	5.8	7.13	-1.24
1976	10.31	11.26	49.06	23.98	11.07	5.08	5.04	0.04
1977	-2.46	16.04	27.6	-7.26	0.90	5.12	6.68	-1.46
1978	12.68	13.56	24.92	6.50	-4.16	7.18	8.99	-1.66
1979	7.21	0.41	42.25	18.77	9.02	10.38	13.26	-2.54
1980	21.46	2.84	40.19	32.48	13.17	11.24	12.35	-0.99
1981	-7.92	-3.78	-1.69	-4.98	3.61	14.71	8.91	5.32
1982	5.82	21.95	27.9	22.09	6.52	10.54	3.83	6.47
1983	18.56	1.73	34.44	22.37	-0.53	8.8	3.79	4.83
1984	1.77	7.50	-10.57	6.46	15.29	9.85	4.04	5.58
1985	37.02	34.12	29.19	32.00	32.68	7.72	3.79	3.79
1986	39.11	30.56	3.7	18.40	23.96	6.16	1.19	4.91
1987	14.34	18.86	-14.15	5.34	-2.65	5.47	4.33	1.09
1988	21.19	4.32	18.73	16.86	8.40	6.35	4.41	1.86
1989	14.75	6.70	9.13	31.34	19.49	8.37	4.64	3.56
1990	-18.65	12.70	-27.28	-3.20	7.13	7.81	6.26	1.46
1991	16.00	15.35	49.08	30.66	18.39	5.6	2.98	2.54
1992	-7.14	6.30	21.17	7.71	7.79	3.51	2.97	0.53
1993	20.39	10.42	19.12	9.87	15.48	2.9	2.81	0.09
1994	3.36	1.56	-5.64	0.41	-7.18	3.9	2.60	1.27
1995	21.11	20.18	34.2	38.05	31.67	5.6	2.53	2.99
1996	14.02	5.11	16.56	22.50	-0.81	5.21	3.38	1.77
1997	16.32	1.92	23.62	33.46	15.08	5.26	1.70	3.50
1998	24.77	13.76	-7.48	28.70	13.52	4.86	1.61	3.20
1999	25.33	-6.46	40.59	20.38	-8.74	4.68	2.68	1.95
2000	-12.72	2.58	-6.33	-9.74	20.27	5.89	3.44	2.37
2001	-16.34	-2.19	29.26	-11.76	4.21	3.83	1.60	2.19
2002	-19.28	23.41	-12.04	-21.58	16.79	1.65	2.48	-0.81
2003	33.32	13.27	75.4	28.18	2.38	1.02	2.04	-0.99
2004	15.27	8.27	14.59	10.69	7.71	1.2	3.34	-2.07
2005	9.97	-4.20	3.22	4.83	6.50	2.98	3.34	-0.35
2006	20.57	3.50	17.31	15.84	-1.21	4.8	2.52	2.22
2007	9.72	15.83	-8.17	5.14	10.25	4.66	4.11	0.53
2008	-39.48	2.55	-39.91	-36.79	1.34	1.6	-0.02	1.62
2009	30.16	7.46	36.38	26.34	-12.92	0.1	2.82	-2.64
2010	12.17	5.18	29.67	15.05	9.38	0.12	1.42	-1.28
2011	-4.77	10.65	-12.17	1.90	14.0	0.04	3.02	-2.89
2012	16.48	6.95	16.84	15.99	7.3	0.06	1.77	-1.68
2013	27.10	-4.84	46.9	32.31	-9.3	0.02	1.51	-1.47

Average					Since 1956	4.81	3.84	0.94
1926-2013	9.86	5.70	17.48	11.88	5.37	3.54	3.05	0.59
1926-1955	10.40	2.85	20.82	12.77	3.53	1.10	1.51	-0.10
1956-1985	8.97	6.22	18.06	10.84	4.96	5.84	4.85	0.98
1986-2013	10.25	8.20	13.30	12.03	7.79	3.70	2.77	0.91

1. Calculate the excess returns during the period of study

2. Calculate the average excess return, standard deviation, Skewness and kurtosis using the excel functions

3. Calculate the 5% Value at Risk (VaR) assuming

a) distribution is normal

b) distribution is not normal

c) comment on your findings

Expert Solution

jeff jeffy answered 1 year ago

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