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a) What is the standard deviation on this portfolio? (Report to 4 decimal places and include appropriate units)
b) What is the standard deviation on this second portfolio? (Report to 4 decimal places and include appropriate units)
These are the given data:
Part 1 Let us now look at some portfolios of 2 of the 3 stocks and see how they perform. Construct the return on a portfolio made up of 50% in WBC and 50% in GM. That is, construct a series for the return on the portfolio as: Portfolio Return = 0.5 x {Return on WBC} + 0.5 x {Return on GM}. Part 2 Repeat this for WBC and TRTC: construct the return on a portfolio made up of 50% in WBC and 50% in TRTC. That is calculate the return on the portfolio: Portfolio Return = 0.5 x {Return on WBC} + 0.5 x {Return on TRTC}. GM Ford SSB 0.94 2.05 0.07 -1.41 0.72 -0.66 Microsoft 0.35 0.07 0.10 0.68 1.34 1.05 -0.48 -0.24 1.02 1.83 0.35 0.55 0.67 1.30 -0.34 -0.73 -0.10 0.39 Date WBC 3/28/13 4/5/13 4/12/13 4/19/13 4/26/13 5/3/13 5/10/13 5/17/13 5/24/13 6/3/13 6/10/13 6/17/13 6/24/13 7/1/13 7/9/13 7/16/13 7/23/13 7/30/13 8/6/13 8/13/13 8/20/13 8/27/13 9/4/13 9/11/13 9/18/13 9/25/13 10/2/13 10/9/13 10/16/13 10/23/13 10/30/13 11/6/13 11/13/13 11/20/13 11/27/13 TRTC -0.57 -0.22 1.50 -0.31 0.91 1.05 -0.42 1.25 -0.33 0.94 0.20 -0.57 -1.40 1.59 0.54 0.72 0.24 0.06 0.29 -0.06 -0.58 -0.63 1.27 0.28 0.67 -0.21 -0.67 -1.00 0.57 -0.04 1.22 -0.34 1.02 -0.39 0.62 Yahoo Google -0.09 0.58 -0.42 0.67 -0.19 -0.27 -0.43 1.17 0.18 1.21 -1.00 0.28 0.04 -0.95 0.33 1.09 -0.20 1.38 0.81 -0.97 -0.21 0.66 0.56 -0.13 -0.80 0.16 0.05 -0.13 0.60 0.28 0.52 0.22 -0.14 -0.09 0.65 -1.92 -0.37 -0.47 0.97 0.41 -0.34 1.13 0.39 -0.23 0.16 0.32 -0.10 0.48 0.34 -0.50 0.50 0.28 -0.68 0.52 1.13 -0.53 0.74 -0.34 1.39 -0.86 -1.36 2.74 -0.07 -0.35 -0.13 0.78 0.51 -0.04 0.80 0.56 0.84 0.16 -0.70 0.61 1.58 -0.22 1.75 0.25 0.58 -1.73 -0.15 0.06 0.97 -0.67 0.02 2.95 -0.13 -0.31 0.08 0.19 -0.15 0.09 1.34 0.20 2.37 -1.31 -0.20 -0.17 0.74 0.79 0.77 -0.06 -0.26 -0.73 0.38 0.00 1.10 2.47 0.02 0.17 GE -0.17 -1.10 1.70 -0.88 1.12 0.25 0.41 1.35 -0.39 1.46 -0.21 -0.20 -2.14 2.43 1.36 0.27 0.41 0.18 0.05 0.04 -0.89 -0.52 1.28 0.75 0.10 -0.50 0.03 2.47 -0.65 1.79 1.36 -0.75 -0.67 1.81 1.60 -0.54 1.88 -2.92 -3.11 2.58 0.21 0.90 -1.50 0.93 -0.12 -0.90 0.94 0.51 0.25 0.40 0.17 0.23 1.27 -1.30 -0.13 0.39 1.11 0.59 -0.32 0.04 -0.60 0.75 0.41 CCH 0.82 -1.07 0.81 0.94 0.09 0.86 0.22 3.00 0.81 0.76 -0.08 -1.34 1.10 -0.48 1.61 -0.58 -1.39 -0.61 0.98 0.57 1.80 0.49 -1.99 0.18 0.20 -0.76 1.18 0.42 -1.32 -2.05 0.42 2.35 0.47 2.05 2.79 1.88 1.98 1.72 0.24 1.63 -2.57 -0.19 0.20 1.21 -2.09 2.65 -1.43 3.30 -1.94 2.49 -1.89 -0.20 -0.92 -2.00 1.69 0.37 0.59 0.76 0.77 0.40 0.33 2.95 2.94 0.84 1.95 0.70 1.70 2.32 -2.07 2.79 0.42 4.16 -0.38 -1.08 1.25 0.98 -0.03 0.35 -0.65 -0.49 0.86 -0.50 0.93 -0.51 1.06 1.46 0.00 -0.57 0.28 1.14 1.81 1.13 -0.89 -0.86 0.67 0.00 1.61 -0.14 -0.99 0.49 0.09 3.07 -1.14 0.69 -0.01 -0.69 0.80 0.27 -0.20 -0.50 0.24 -0.21 0.13 -0.13 0.56 -0.44 -0.65 0.95 -0.21 -0.22 -0.33 -0.13 -0.50 1.18 0.18 -0.11 -0.24 2.25 -1.56 0.52 1.06 0.00 -0.41 -0.42 -0.52 3.15 1.59 3.35 1.85 0.19 0.55 -0.17 -0.10 0.21 -0.03 -0.26 -0.43 1.15 -0.27 -1.05 0.76 -0.57 0.19 -0.02 0.02 -0.67 -1.25 -0.14 0.32 -0.25 -0.41 -0.63 -0.79 12/5/13 12/12/13 12/19/13 12/27/13 1/6/14 1/13/14 1/21/14 1/28/14 2/4/14 2/11/14 2/19/14 2/26/14 3/5/14 3/12/14 3/19/14 -0.31 0.59 -0.02 0.11 -0.72 -0.69 -0.31 0.90 0.57 -0.63 -0.63 -0.68 0.06 0.18 0.93 -1.33 0.00 -0.36 0.68 -0.38 -0.84 -1.09 0.12 -0.20 0.40 -0.12 -0.19 2.96 3.14 2.78 -0.89 3.29 5.83 1.26 3.80 2.38 -0.74 2.97 -0.75 -0.59 4.26 -0.22 -0.62 -0.11 -0.97 -0.53 -0.30 -1.29 1.55 -1.49 1.88 0.87 -1.71 0.60 0.57 -1.95 2.65 -0.50 -1.61 0.13 0.91 -0.36 -0.10 -0.45 0.45 0.38 -1.44 -0.04 -0.07 0.45 -0.18 -0.02 0.35 -0.08 -0.53 -0.21 -1.30 1.03 -0.18 -0.12 -1.92 -2.73 2.54 -0.79 1.81 6.01 1.14 -0.39 0.01 0.49 -0.29 -0.11 0.99 -1.11 1.44 -1.77 5.33 -0.21 -1.03 -1.61 0.47 -0.16 3.92 -0.61 1.23 Mean Return 0.04 0.05 0.65 0.14 0.13 0.19 0.04 0.54 0.39 0.80 Standard Deviation of Return 0.727806078 0.722669311 1.581357441 0.817260232 0.763861531 0.718811872 0.825724349 1.745467089 1.317795758 1.763528496 WBC Mean: WBC Standard Deviation: GM Mean: GM Standard Deviation: TRTC Mean: TRTC Standard Deviation: 0.04 0.727806 0.05 0.722669 0.65 1.581357 Correlation coefficients between WBC and GM: 0.5528 Correlation coefficients between WBC and TRTC: -0.5274 Average return on this portfolio: 0.0487 Standard deviation on this portfolio: ? Average return on this second portfolio: 0.3442 Standard deviation on this second portfolio
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