Quantitative Investment Analysis – Statistics Expectation

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Quantitative Investment Analysis – Statistics Expectation

Download into Excel the monthly closing values of the Russell 2000 Index, Nikkei 225 Index, and the Dow Jones Industrial Average for the period January 1988 through the end of last month. Calculate the continuously compounded returns for each month for each index. Calculate the average return, variance, standard deviation, covariance, correlation coefficient and beta for all possible combinations of returns. Imagine that your grandparents had a portfolio weighted 20% Russell, 50% Nikkei and 30% Dow Jones for that entire period. Calculate their return, variance and standard deviation for the portfolio

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Work most follow examples Chapter 4 Part 3 of “CFA Institute Quantitative Analysis Third Addition”

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