The calculation of the expected return (case study)

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Uploaded: 07.07.2013
Content: 30707120347733.zip (94,65 kB)

Description

Subject of practical tasks
The calculation of the expected return, risk and correlations between securities in the portfolio.
Explanation of the job
1. Using the proposed baseline data, perform analysis of isolated securities included in the hypothetical portfolio.
2. The task will be accompanied by necessary comments and explanations.
To form the optimal portfolio is necessary to analyze the assets that are candidates for inclusion in the portfolio separately from each other, ie, isolation. The isolated analysis of assets will determine the expected return of each asset, the indicators characterizing the risks associated with the asset, and the relationship between assets.

Part 1: The expected return (expected return)
Table of monthly increments for 2007
Month Vimpelcom, Norilsk Nickel, Lukoil Surgut Rostelecom
January + 8% + 9% + 8% + 6% -2%
February 3% + 9% + 1% + 10% + 8%
March 0% + 10% + 5% + 17% + 1%
April -13% -10% -18% -12% -9%
May -4% + 2% -6% -2% -6%
June + 1% -3% -6% + 3% + 4%
July -8% + 4% + 4% -7% -13%
August + 11% + 9% + 11% + 2% + 10%
September + 9% + 5% + 13% + 4% + 11%
October 6% -1% -4% + 1% + 8%
November -14% -2% -9% -8% -9%
December 0% -5% -8% -17% -3%

Table 2
The calculation of the expected return of VimpelCom
The yield rate Probability Expected return (the product of the first and third columns), bp
1 1/12 -14 -1.17
1 1/12 -13 -1.08
-8 1 1/12 -0.67
-4 1 1/12 -0.33
2 0 0 2/12
1 1 1/12 0.08
3 1 1/12 0.25
6 1 1/12 0.5
8 1 1/12 0.66
9 1 1/12 0.75
+11 1 1/12 0.92
Amount January 12 -0.09
The calculation of the expected return of Lukoil
The calculation of the expected return of Norilsk Nickel
The calculation of the expected return of Surgut
The calculation of the expected return of Rostelecom
The yield rate Probability Expected return (the product of the first and third columns), bp
Expected yields

Part 2: Dispersion (variance) and standard deviation (standard deviation)
Variance and standard deviation

Part 3. Covariance (covariance) and correlation (correlation)
Covariance - a measure that takes into account the variance of the individual
Table covariance
Table of correlation
References

Additional information

13 pages

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