1. Using daily data and for the past 3 years historical data, generate the two following graphs:
a. Line graph
b. Candle stick graph chart
2. Answer the following for the intraday movement of the stock: On the following 2 days, what was the open, high, low and close for the stock?
1 November 2012
1 July 2013
Provide the candle stick graph of those days to illustrate your answer.
3. What has been the total holding period return of the stock from 2 January 2014 until 1 Nov. 2014?
Based on daily data of the past 5 years, answer questions 4-8. Please use 250 trading days per year and note that annual volatility = daily volatility x Sqrt(number of trading days/year)
4. what has been the annualized volatility of the stock? Show the formulas and calculations.
5. what has been the correlation of daily returns of this stock with the daily returns on SPY? Show the formulas and calculations
6. what is the beta of the stock?
7. What is the sharp ratio of the stock?
8. What is the sharp ratio of SPY?
Using the monthly data of the past 5 years, answer question 9.
9. Graph the regression line between returns of the stock vs returns of SPY. You can use Bloomberg or Excel for this question.
10. Based on all the analysis above, would you have rather owned SPY or your stock? In other words, over the past five years, which stock would have been a better investment, your stock or SPY? Explain.
In the questions below, you need to use both the first stock that you used above ( stock A) and the second stock ( stock B):
11. Build 2 different portfolios with the weights below:
Scenario 11.1 : 20% stock A, 80% stock B This is portfolio 1
Scenario 11.2: 50% stock A and 50% stock B This is portfolio 2
What were the monthly returns for portfolios in Scenario 11.1 and 11.2 for the past 3 years?
12. What was the risk adjusted return ( ie Sharpe ratio) for the above 2 scenarios for the past 3 years?
13. For the past 3 years, would have rather held portfolio 1 or portfolio 2? Why?
14. Has there been any diversification benefit by adding stock B and holding a portfolio of the 2 stocks instead of just holding stock A? Explain.
15. During the period 1 Feb. 2015 and 1 April 2015, on which day did stock A fall the most? Why do you think that happened? Was there any particular news about the company on that day? Explain the likely causes of such fall in the price, if possible.
16. if US Dollar weakens significantly over the next 12 months, keeping everything else the same, do you think it would be beneficial or detrimental or non-material for stock A?
17. if oil price weakens significantly over the next 12 months, keeping everything else the same, do you think it would be beneficial or detrimental or non-material for stock B?
Attachment:- stocks.xlsx