In: Finance
1. On January 15, 1990, you constructed a portfolio consisting of 1,000 shares of General Electronics, 500 shares of Boeing, and 1,500 shares of Microsoft. You close the portfolio by selling all shares by March 3, 2020. (20 pt.)
At the end, copy your R code in the file.
2. For the period from January 15, 1990 to March 3, 2020, using weekly stock returns data of the following companies, answer the following questions (20 pt.) –
GE |
BA |
MSFT |
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CAPM beta |
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Standard deviation of stock returns |
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Correlation of stock returns with the returns of S&P 500 returns |
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Sharpe ratio |
a. & B. The data has been sourced from Yahoo Finance. The calculation is based on End of the Day closing price.
The beginning and ending portfolio would be
GE | Boeing | MSFT | Portfolio Val | |
No of Shares | 1000 | 500 | 1500 | |
Date/ Closing Price | ||||
15-Jan-90 | 5.02 | 19.79 | 0.60 | 15,811.00 |
3-Mar-20 | 11.21 | 289.27 | 172.79 | 415,029.98 |
The opening portfolio value on 15 Jan, 1990 = No. of shares of GE X Closing Price + Noo. of shares of Boeing X Closing Price + No. of shares of MSFT x Closing price of MSFT
Portfolio Valueon Jan 15, 1990 = $15,811
Portfolio Value on March 3, 2020 = $415,029.98
Similar formula is used for all respective dates
C. The graph is based on daily closing prices of GE, Boeing &MSFT multilied by the respective shares held for each of them.
D. Using the max function in the data, the portfolio has the maximum value on 10th Feb 2020.
Max Value of the Portfolio | 468,295.00 |
The data has over 7000 rows, so it cant be put here.