Discussion:
Review Measuring stock market risk
Managerial Report
You have been assigned to analyze the risk characteristics of these stocks. Prepare a report that includes but is not limited to the following items.
a. Compute descriptive statistics for each stock and the S&P 500. Comment on your results. Which stocks are the most volatile?
b. Compute the value of beta for each stock. Which of these stocks would you expect to perform best in an up market? Which would you expect to hold their value best in a down market?
c. Comment on how much of the return for the individual stocks is explained by the market.
| Month |
Microsoft |
Exxon Mobil |
Caterpillar |
Johnson & Johnson |
McDonald's |
Sandisk |
Qualcomm |
Procter & Gamble |
S&P 500 |
| Jan-03 |
-0.08201 |
-0.02261 |
-0.0304 |
-0.00186 |
-0.11443 |
-0.24867 |
0.0349 |
0.000465 |
-0.02742 |
| Feb-03 |
0.00211 |
0.00293 |
0.06867 |
-0.01781 |
-0.04424 |
0.09363 |
-0.08178 |
-0.04336 |
-0.017 |
| Mar-03 |
0.02152 |
0.02734 |
0.04681 |
0.10334 |
0.06245 |
0.00839 |
0.04251 |
0.087833 |
0.008358 |
| Apr-03 |
0.05576 |
0.00715 |
0.07622 |
-0.02609 |
0.18257 |
0.43876 |
-0.11444 |
0.013588 |
0.081044 |
| May-03 |
-0.03717 |
0.04119 |
-0.00856 |
-0.03141 |
0.09532 |
0.50165 |
0.05395 |
0.021925 |
0.050899 |
| Jun-03 |
0.04185 |
-0.01346 |
0.06731 |
-0.04876 |
0.17779 |
0.1164 |
0.07124 |
-0.02875 |
0.011322 |
| Jul-03 |
0.03003 |
-0.00919 |
0.21847 |
0.00174 |
0.04306 |
0.39734 |
0.04285 |
-0.00959 |
0.016224 |
| Aug-03 |
0.00417 |
0.06661 |
0.06462 |
-0.03804 |
-0.02564 |
0.06633 |
0.10459 |
-0.0066 |
0.017873 |
| Sep-03 |
0.04827 |
-0.02918 |
-0.04163 |
-0.00121 |
0.04996 |
0.05409 |
0.00823 |
0.063352 |
-0.01194 |
| Oct-03 |
-0.05396 |
-0.00055 |
0.06987 |
0.01636 |
0.06202 |
0.26491 |
0.13967 |
0.063833 |
0.054962 |
| Nov-03 |
-0.01645 |
-0.00355 |
0.0378 |
-0.0157 |
0.0412 |
0.00273 |
-0.06043 |
-0.02086 |
0.007129 |
| Dec-03 |
0.06457 |
0.1326 |
0.09165 |
0.04787 |
-0.03121 |
-0.24276 |
0.21055 |
0.037822 |
0.050765 |
| Jan-04 |
0.01023 |
-0.00512 |
-0.05444 |
0.03407 |
0.03665 |
-0.11275 |
0.08678 |
0.01657 |
0.017276 |
| Feb-04 |
-0.04051 |
0.03996 |
-0.03046 |
0.01367 |
0.09946 |
-0.06372 |
0.07763 |
0.014147 |
0.012209 |
| Mar-04 |
-0.06031 |
-0.01375 |
0.04383 |
-0.05917 |
0.00954 |
0.11566 |
0.05072 |
0.02312 |
-0.01636 |
| Apr-04 |
0.04813 |
0.02308 |
-0.01227 |
0.06526 |
-0.0469 |
-0.18371 |
-0.05778 |
0.013063 |
-0.01679 |
| May-04 |
0.00383 |
0.0228 |
-0.03062 |
0.03637 |
-0.03048 |
0.06479 |
0.07541 |
0.019574 |
0.012083 |
| Jun-04 |
0.08883 |
0.02682 |
0.05428 |
-0.00018 |
-0.01515 |
-0.12008 |
0.08812 |
0.009831 |
0.017989 |
| Jul-04 |
-0.00245 |
0.04256 |
-0.06974 |
-0.00772 |
0.05769 |
0.12125 |
-0.05166 |
-0.03747 |
-0.03429 |
| Aug-04 |
-0.03896 |
0.00151 |
-0.01075 |
0.05636 |
-0.01745 |
-0.03988 |
0.10157 |
0.07325 |
0.002287 |
| Sep-04 |
0.01282 |
0.04837 |
0.1066 |
-0.03046 |
0.03738 |
0.24711 |
0.02602 |
-0.03305 |
0.009364 |
| Oct-04 |
0.01157 |
0.01842 |
0.00622 |
0.03639 |
0.03996 |
-0.28331 |
0.06557 |
-0.0497 |
0.014014 |
| Nov-04 |
0.06864 |
0.04673 |
0.1367 |
0.03811 |
0.07341 |
0.08194 |
0.00048 |
0.044939 |
0.038595 |
| Dec-04 |
-0.00336 |
0.0002 |
0.0651 |
0.05139 |
0.04294 |
0.10585 |
0.02042 |
0.029918 |
0.032458 |
| Jan-05 |
-0.01647 |
0.00663 |
-0.08204 |
0.02018 |
0.01029 |
-0.01081 |
-0.1217 |
-0.02905 |
-0.02529 |
| Feb-05 |
-0.03957 |
0.23217 |
0.06678 |
0.01832 |
0.0213 |
0.08826 |
-0.03008 |
-0.00263 |
0.018903 |
| Mar-05 |
-0.03935 |
-0.0586 |
-0.03798 |
0.02378 |
-0.05865 |
0.03423 |
0.01609 |
-0.0017 |
-0.01912 |
| Apr-05 |
0.04675 |
-0.04312 |
-0.03259 |
0.02189 |
-0.05877 |
-0.14748 |
-0.0475 |
0.026981 |
-0.02011 |
| May-05 |
0.02292 |
-0.00947 |
0.06882 |
-0.01749 |
0.05561 |
0.09578 |
0.07079 |
0.018467 |
0.029952 |
| Jun-05 |
-0.03721 |
0.0226 |
0.01275 |
-0.0313 |
-0.1031 |
-0.08625 |
-0.1143 |
-0.04352 |
-0.00014 |
| Jul-05 |
0.031 |
0.02227 |
0.1365 |
-0.016 |
0.12324 |
0.4252 |
0.196 |
0.059905 |
0.035968 |
| Aug-05 |
0.07224 |
0.02451 |
0.02931 |
-0.00375 |
0.04107 |
0.14814 |
0.00811 |
-0.0027 |
-0.01122 |
| Sep-05 |
-0.06026 |
0.06077 |
0.05875 |
-0.00174 |
0.03205 |
0.24234 |
0.12692 |
0.071738 |
0.006949 |
| Oct-05 |
-0.00117 |
-0.11646 |
-0.1006 |
-0.01043 |
-0.05643 |
0.22056 |
-0.11151 |
-0.05365 |
-0.01774 |
| Nov-05 |
0.08016 |
0.03883 |
0.09869 |
-0.00862 |
0.0924 |
-0.13281 |
0.14361 |
0.021432 |
0.035186 |
| Dec-05 |
-0.05527 |
-0.03205 |
-0.00017 |
-0.02672 |
-0.00384 |
0.23032 |
-0.05058 |
0.012065 |
-0.00095 |