Computer Science Assignment work
Ravi12
Week4-BARC_StockandMarket_Risk_Returns_Sample.xlsxBARC_StockandMarket_Risk_Return
| date | close.jpmc | close.MK | expectedReturn.jpm | expectedReturn.mk |
| 7/14/11 | 208.628006 | 5847 | ||
| 7/15/11 | 206.272003 | 5843.700195 | -1.129284148 | -0.0564358645 |
| 7/18/11 | 191.815994 | 5752.799805 | -7.0082264145 | -1.5555279526 |
| 7/19/11 | 195.464005 | 5790 | 1.9018283741 | 0.646645047 |
| 7/20/11 | 205.626007 | 5853.799805 | 5.1989121987 | 1.1018964594 |
| 7/21/11 | 221.559998 | 5899.899902 | 7.7490154249 | 0.7875243181 |
| 7/22/11 | 221.328995 | 5935 | -0.1042620519 | 0.5949270086 |
| 7/25/11 | 211.490997 | 5925.299805 | -4.4449657398 | -0.1634405223 |
| 7/26/11 | 211.307007 | 5929.700195 | -0.086996611 | 0.0742644279 |
| 7/27/11 | 204.147995 | 5856.600098 | -3.3879671581 | -1.2327789702 |
| 7/28/11 | 210.520996 | 5873.200195 | 3.1217553716 | 0.2834425558 |
| 7/29/11 | 205.994995 | 5815.200195 | -2.1499048009 | -0.9875365742 |
| 8/1/11 | 200.453003 | 5774.399902 | -2.6903527438 | -0.7016145899 |
| 8/2/11 | 200.222 | 5718.399902 | -0.1152404786 | -0.9697977444 |
| 8/3/11 | 196.296005 | 5584.5 | -1.9608209887 | -2.3415624002 |
| 8/4/11 | 181.054001 | 5393.100098 | -7.7648060132 | -3.4273417853 |
| 8/5/11 | 171.817001 | 5247 | -5.1017928071 | -2.7090188453 |
| 8/8/11 | 162.024994 | 5069 | -5.69909086 | -3.3924147132 |
| 8/9/11 | 165.626999 | 5164.899902 | 2.2231168853 | 1.8918899586 |
| 8/10/11 | 151.216995 | 5007.200195 | -8.7002747662 | -3.0532964819 |
| 8/11/11 | 164.287994 | 5162.799805 | 8.6438690307 | 3.107517254 |
| 8/12/11 | 172.925003 | 5320 | 5.2572368739 | 3.0448632707 |
| 8/15/11 | 169.369003 | 5350.600098 | -2.0563827892 | 0.575189812 |
| 8/16/11 | 167.751999 | 5357.600098 | -0.954722512 | 0.130826447 |
| 8/17/11 | 160.684998 | 5331.600098 | -4.212767086 | -0.4852919129 |
| 8/18/11 | 142.257004 | 5092.200195 | -11.4683973173 | -4.4902074162 |
| 8/19/11 | 139.024002 | 5040.799805 | -2.2726487337 | -1.0093945256 |
| 8/22/11 | 135.098007 | 5095.299805 | -2.8239692021 | 1.0811776327 |
| 8/23/11 | 134.358994 | 5129.399902 | -0.5470199127 | 0.6692461348 |
| 8/24/11 | 138.192001 | 5205.899902 | 2.8528101364 | 1.4914025317 |
| 8/25/11 | 145.858994 | 5131.100098 | 5.5480729308 | -1.4368275497 |
| 8/26/11 | 143.179993 | 5129.899902 | -1.8367060724 | -0.0233906175 |
| 8/30/11 | 152.787003 | 5268.700195 | 6.7097433089 | 2.7057115275 |
| 8/31/11 | 157.729004 | 5394.5 | 3.234568977 | 2.3876819774 |
| 9/1/11 | 166.597 | 5418.700195 | 5.6222988639 | 0.4486086755 |
| 9/2/11 | 152.602997 | 5292 | -8.3999129636 | -2.3382027136 |
| 9/5/11 | 142.395004 | 5102.600098 | -6.6892480493 | -3.5789852986 |
| 9/6/11 | 139.255005 | 5156.799805 | -2.205132843 | 1.0621978199 |
| 9/7/11 | 147.753006 | 5318.600098 | 6.1024743779 | 3.1376105166 |
| 9/8/11 | 146.875 | 5340.399902 | -0.5942390099 | 0.4098786071 |
| 9/9/11 | 133.018997 | 5214.700195 | -9.433874383 | -2.3537508297 |
| 9/12/11 | 130.848007 | 5129.600098 | -1.6320901893 | -1.6319269338 |
| 9/13/11 | 136.990997 | 5174.299805 | 4.694752439 | 0.8714072471 |
| 9/14/11 | 140.408997 | 5227 | 2.4950544743 | 1.0184990624 |
| 9/15/11 | 145.951996 | 5337.5 | 3.9477520091 | 2.1140233403 |
| 9/16/11 | 150.940002 | 5368.399902 | 3.4175661428 | 0.5789208806 |
| 9/19/11 | 141.056 | 5259.600098 | -6.548298575 | -2.0266710004 |
| 9/20/11 | 142.488007 | 5363.700195 | 1.0152045996 | 1.9792397722 |
| 9/21/11 | 141.563995 | 5288.399902 | -0.648484051 | -1.4038870605 |
| 9/22/11 | 128.261993 | 5041.600098 | -9.396458471 | -4.6668143214 |
| 9/23/11 | 134.867004 | 5066.799805 | 5.1496244877 | 0.4998354989 |
| 9/26/11 | 144.104004 | 5089.399902 | 6.8489695226 | 0.4460428253 |
| 9/27/11 | 155.604996 | 5294.100098 | 7.981035697 | 4.0220890467 |
| 9/28/11 | 153.710999 | 5217.600098 | -1.2171826411 | -1.4450047899 |
| 9/29/11 | 156.251007 | 5196.799805 | 1.6524568941 | -0.3986563288 |
| 9/30/11 | 149.046005 | 5128.5 | -4.6111715619 | -1.3142666172 |
| 10/3/11 | 144.335007 | 5075.5 | -3.1607677106 | -1.0334405772 |
| 10/4/11 | 133.343002 | 4944.399902 | -7.6156195427 | -2.5829986799 |
| 10/5/11 | 143.595993 | 5102.200195 | 7.6891856687 | 3.1914953509 |
| 10/6/11 | 155.050995 | 5291.299805 | 7.9772434876 | 3.7062365798 |
| 10/7/11 | 152.141006 | 5303.399902 | -1.8767947926 | 0.2286791043 |
| 10/10/11 | 158.975998 | 5399 | 4.492537666 | 1.8026190702 |
| 10/11/11 | 162.302002 | 5395.700195 | 2.0921422365 | -0.0611188183 |
| 10/12/11 | 172.740005 | 5441.799805 | 6.4312225797 | 0.8543767877 |
| 10/13/11 | 159.992996 | 5403.399902 | -7.379303364 | -0.705647109 |
| 10/14/11 | 162.625 | 5466.399902 | 1.6450745131 | 1.1659325821 |
| 10/17/11 | 162.901993 | 5436.700195 | 0.1703262106 | -0.543313836 |
| 10/18/11 | 161.748001 | 5410.399902 | -0.7083964897 | -0.4837547052 |
| 10/19/11 | 165.766006 | 5450.5 | 2.4841141623 | 0.7411669881 |
| 10/20/11 | 158.884003 | 5384.700195 | -4.1516370974 | -1.207225117 |
| 10/21/11 | 168.074997 | 5488.700195 | 5.7847195605 | 1.9313981509 |
| 10/24/11 | 172.462997 | 5548.100098 | 2.6107392999 | 1.0822216716 |
| 10/25/11 | 166.274002 | 5525.5 | -3.588592978 | -0.4073484184 |
| 10/26/11 | 164.981003 | 5553.200195 | -0.7776314905 | 0.5013156275 |
| 10/27/11 | 193.985992 | 5713.799805 | 17.5808053488 | 2.8920190946 |
| 10/28/11 | 185.856995 | 5702.200195 | -4.1905072197 | -0.2030104378 |
| 10/31/11 | 180.406998 | 5544.200195 | -2.932360442 | -2.7708602749 |
| 11/1/11 | 163.272003 | 5421.600098 | -9.4979658162 | -2.2113216098 |
| 11/2/11 | 167.289993 | 5484.100098 | 2.4609179321 | 1.1527962017 |
| 11/3/11 | 170.477005 | 5545.600098 | 1.9050822723 | 1.1214237323 |
| 11/4/11 | 169.552994 | 5527.200195 | -0.542015036 | -0.3317928209 |
| 11/7/11 | 165.673996 | 5510.799805 | -2.2877791235 | -0.296721476 |
| 11/8/11 | 168.121994 | 5567.299805 | 1.4775994176 | 1.0252595267 |
| 11/9/11 | 158.929993 | 5460.399902 | -5.4674589453 | -1.9201391472 |
| 11/10/11 | 157.037003 | 5444.799805 | -1.1910841775 | -0.2856951374 |
| 11/11/11 | 165.257996 | 5545.399902 | 5.2350674318 | 1.8476362879 |
| 11/14/11 | 160.778 | 5519 | -2.7109102787 | -0.4760684976 |
| 11/15/11 | 158.145004 | 5517.399902 | -1.6376593813 | -0.0289925349 |
| 11/16/11 | 159.345993 | 5509 | 0.7594226625 | -0.1522438494 |
| 11/17/11 | 155.235001 | 5423.100098 | -2.5799155175 | -1.5592648757 |
| 11/18/11 | 153.710999 | 5362.899902 | -0.981738648 | -1.1100697924 |
| 11/21/11 | 145.490005 | 5222.600098 | -5.3483446555 | -2.6161182674 |
| 11/22/11 | 140.962997 | 5206.799805 | -3.1115594504 | -0.3025369108 |
| 11/23/11 | 136.621994 | 5139.799805 | -3.079533702 | -1.2867788759 |
| 11/24/11 | 140.871002 | 5127.600098 | 3.1100468348 | -0.2373576299 |
| 11/25/11 | 143.781006 | 5164.700195 | 2.0657225112 | 0.7235372551 |
| 11/28/11 | 155.050995 | 5312.799805 | 7.8383016739 | 2.8675354698 |
| 11/29/11 | 156.113007 | 5337 | 0.6849436858 | 0.4555073763 |
| 11/30/11 | 166.505005 | 5505.399902 | 6.6567150295 | 3.1553288739 |
| 12/1/11 | 163.641006 | 5489.299805 | -1.7200678142 | -0.2924419168 |
| 12/2/11 | 176.112 | 5552.299805 | 7.6209467937 | 1.1476873597 |
| 12/5/11 | 177.035995 | 5568 | 0.5246632825 | 0.2827692227 |
| 12/6/11 | 173.664001 | 5568.700195 | -1.9046940143 | 0.0125753412 |
| 12/7/11 | 173.063995 | 5546.899902 | -0.3454982014 | -0.3914790209 |
| 12/8/11 | 166.643997 | 5483.799805 | -3.7096092691 | -1.1375741065 |
| 12/9/11 | 175.695999 | 5529.200195 | 5.4319400416 | 0.8279002081 |
| 12/12/11 | 167.613998 | 5427.899902 | -4.5999914887 | -1.8320966763 |
| 12/13/11 | 164.981003 | 5490.200195 | -1.570868204 | 1.1477789592 |
| 12/14/11 | 157.313995 | 5366.799805 | -4.6472065635 | -2.2476482754 |
| 12/15/11 | 157.498001 | 5400.899902 | 0.1169673429 | 0.6353897712 |
| 12/16/11 | 158.376007 | 5387.299805 | 0.5574712024 | -0.2518116841 |
| 12/19/11 | 153.294998 | 5365 | -3.2081936502 | -0.4139328756 |
| 12/20/11 | 158.330002 | 5419.600098 | 3.2845194336 | 1.0177091892 |
| 12/21/11 | 158.837997 | 5389.700195 | 0.320845698 | -0.5516994328 |
| 12/22/11 | 162.671005 | 5457 | 2.4131555877 | 1.2486743708 |
| 12/23/11 | 165.350006 | 5512.700195 | 1.6468829218 | 1.0207109218 |
| 12/28/11 | 159.069 | 5507.399902 | -3.798612502 | -0.0961469482 |
| 12/29/11 | 161.192993 | 5566.799805 | 1.3352651994 | 1.0785471195 |
| 12/30/11 | 162.625 | 5572.299805 | 0.8883804273 | 0.0988000322 |
| 1/3/12 | 172.093994 | 5699.899902 | 5.8225943121 | 2.2899000676 |
| 1/4/12 | 173.987 | 5668.5 | 1.0999837682 | -0.5508851478 |
| 1/5/12 | 169.645996 | 5624.299805 | -2.4950162943 | -0.7797511687 |
| 1/6/12 | 172.186005 | 5649.700195 | 1.4972407601 | 0.451618706 |
| 1/9/12 | 164.518997 | 5612.299805 | -4.4527474808 | -0.6619889323 |
| 1/10/12 | 173.940994 | 5696.700195 | 5.7269963784 | 1.5038467818 |
| 1/11/12 | 175.789001 | 5670.799805 | 1.0624332755 | -0.4546560134 |
| 1/12/12 | 178.697998 | 5662.399902 | 1.6548231024 | -0.1481255429 |
| 1/13/12 | 185.856995 | 5636.600098 | 4.0061987712 | -0.4556337321 |
| 1/16/12 | 183.917999 | 5657.399902 | -1.0432730821 | 0.3690132995 |
| 1/17/12 | 184.056 | 5694 | 0.0750339829 | 0.646942034 |
| 1/18/12 | 185.764999 | 5702.399902 | 0.9285212109 | 0.1475219881 |
| 1/19/12 | 204.470993 | 5741.200195 | 10.0697085569 | 0.6804204136 |
| 1/20/12 | 205.671997 | 5728.600098 | 0.5873713344 | -0.2194679958 |
| 1/23/12 | 205.671997 | 5782.600098 | 0 | 0.942638674 |
| 1/24/12 | 201.837997 | 5751.899902 | -1.8641332101 | -0.5309064345 |
| 1/25/12 | 200.684006 | 5723 | -0.5717412069 | -0.5024409759 |
| 1/26/12 | 205.856995 | 5795.200195 | 2.5776787613 | 1.2615795038 |
| 1/27/12 | 205.856995 | 5733.5 | 0 | -1.0646775422 |
| 1/30/12 | 197.266006 | 5671.100098 | -4.1732800967 | -1.088338746 |
| 1/31/12 | 196.341995 | 5681.600098 | -0.4684086319 | 0.1851492624 |
| 2/1/12 | 207.011002 | 5790.700195 | 5.4338894743 | 1.9202354111 |
| 2/2/12 | 210.520996 | 5796.100098 | 1.6955591568 | 0.0932512964 |
| 2/3/12 | 219.343002 | 5901.100098 | 4.1905587412 | 1.8115629169 |
| 2/6/12 | 213.755005 | 5892.200195 | -2.5476066932 | -0.1508176925 |
| 2/7/12 | 218.742996 | 5890.299805 | 2.3335084014 | -0.032252638 |
| 2/8/12 | 215.787003 | 5875.899902 | -1.3513543538 | -0.2444680827 |
| 2/9/12 | 215.324997 | 5895.5 | -0.2141027928 | 0.3335675952 |
| 2/10/12 | 216.201996 | 5852.399902 | 0.4072908451 | -0.7310677296 |
| 2/13/12 | 218.880997 | 5905.700195 | 1.2391194575 | 0.910742497 |
| 2/14/12 | 216.988007 | 5899.899902 | -0.864848948 | -0.0982151618 |
| 2/15/12 | 223.223007 | 5892.200195 | 2.8734306961 | -0.1305057226 |
| 2/16/12 | 226.225006 | 5885.399902 | 1.3448430072 | -0.1154117779 |
| 2/17/12 | 229.412003 | 5905.100098 | 1.4087730867 | 0.3347299475 |
| 2/20/12 | 231.768005 | 5945.299805 | 1.026974164 | 0.6807624991 |
| 2/21/12 | 228.858002 | 5928.200195 | -1.255567178 | -0.2876156049 |
| 2/22/12 | 220.960007 | 5916.600098 | -3.4510460333 | -0.1956765396 |
| 2/23/12 | 222.623001 | 5937.899902 | 0.7526221702 | 0.3600007377 |
| 2/24/12 | 228.764999 | 5935.100098 | 2.7589233693 | -0.0471514179 |
| 2/27/12 | 225.209 | 5915.600098 | -1.5544331587 | -0.3285538521 |
| 2/28/12 | 225.348007 | 5927.899902 | 0.0617235546 | 0.2079214923 |
| 2/29/12 | 226.317001 | 5871.5 | 0.4299989216 | -0.9514314164 |
| 3/1/12 | 231.998993 | 5931.299805 | 2.5106341878 | 1.0184757728 |
| 3/2/12 | 237.171005 | 5911.100098 | 2.2293251937 | -0.3405612204 |
| 3/5/12 | 233.615005 | 5874.799805 | -1.4993401069 | -0.6141038453 |
| 3/6/12 | 220.682999 | 5765.799805 | -5.5356059 | -1.8553823725 |
| 3/7/12 | 220.774994 | 5791.399902 | 0.0416864917 | 0.4439990611 |
| 3/8/12 | 222.345001 | 5859.700195 | 0.7111344322 | 1.179339955 |
| 3/9/12 | 222.345001 | 5887.5 | 0 | 0.4744236748 |
| 3/12/12 | 217.865005 | 5892.799805 | -2.014884967 | 0.0900179193 |
| 3/13/12 | 221.283005 | 5955.899902 | 1.5688614149 | 1.0707999438 |
| 3/14/12 | 229.828003 | 5945.399902 | 3.8615699385 | -0.1762957768 |
| 3/15/12 | 230.197006 | 5940.700195 | 0.1605561529 | -0.0790477861 |
| 3/16/12 | 234.630997 | 5965.600098 | 1.9261723152 | 0.4191408787 |
| 3/19/12 | 232.136993 | 5961.100098 | -1.062947365 | -0.0754324783 |
| 3/20/12 | 226.779007 | 5891.399902 | -2.3081138128 | -1.1692505553 |
| 3/21/12 | 226.039993 | 5892 | -0.3258740788 | 0.0101860001 |
| 3/22/12 | 221.328995 | 5845.700195 | -2.084143579 | -0.7858079599 |
| 3/23/12 | 225.856003 | 5854.899902 | 2.045375031 | 0.1573756213 |
| 3/26/12 | 228.764999 | 5902.700195 | 1.2879870189 | 0.8164152044 |
| 3/27/12 | 232.182999 | 5869.600098 | 1.4941096824 | -0.5607619548 |
| 3/28/12 | 226.871994 | 5809 | -2.2874220003 | -1.0324399787 |
| 3/29/12 | 216.294998 | 5742 | -4.6620985753 | -1.153382682 |
| 3/30/12 | 217.311005 | 5768.5 | 0.4697320832 | 0.4615116684 |
| 4/2/12 | 218.419006 | 5874.899902 | 0.5098687938 | 1.8444986045 |
| 4/3/12 | 212.785004 | 5838.299805 | -2.5794467721 | -0.622990989 |
| 4/4/12 | 201.837997 | 5703.799805 | -5.1446327486 | -2.3037528817 |
| 4/5/12 | 202.576996 | 5723.700195 | 0.3661347273 | 0.348897063 |
| 4/10/12 | 190.569 | 5595.600098 | -5.9276207255 | -2.23806441 |
| 4/11/12 | 195.925995 | 5634.700195 | 2.8110526896 | 0.6987650353 |
| 4/12/12 | 206.410995 | 5710.5 | 5.3515104006 | 1.345232264 |
| 4/13/12 | 198.513 | 5651.799805 | -3.8263441344 | -1.0279344191 |
| 4/16/12 | 194.725006 | 5666.299805 | -1.9081843506 | 0.2565554425 |
| 4/17/12 | 203.731995 | 5767 | 4.625491705 | 1.7771773197 |
| 4/18/12 | 197.912003 | 5745.299805 | -2.8566902317 | -0.3762822091 |
| 4/19/12 | 196.110992 | 5744.600098 | -0.9100059485 | -0.0121787726 |
| 4/20/12 | 197.266006 | 5772.200195 | 0.5889593379 | 0.4804528867 |
| 4/23/12 | 188.951996 | 5665.600098 | -4.2146187113 | -1.8467844738 |
| 4/24/12 | 194.910004 | 5709.5 | 3.1531860611 | 0.7748499937 |
| 4/25/12 | 194.910004 | 5718.899902 | 0 | 0.1646361678 |
| 4/26/12 | 196.757996 | 5748.700195 | 0.9481257822 | 0.5210843608 |
| 4/27/12 | 206.087006 | 5777.100098 | 4.7413625823 | 0.4940230319 |
| 4/30/12 | 201.606995 | 5737.799805 | -2.1738444781 | -0.6802771691 |
| 5/1/12 | 208.951004 | 5812.200195 | 3.6427352136 | 1.2966710678 |
| 5/2/12 | 197.358002 | 5758.100098 | -5.5481915751 | -0.9308023672 |
| 5/3/12 | 196.619003 | 5766.600098 | -0.374445927 | 0.1476181354 |
| 5/4/12 | 192.507996 | 5655.100098 | -2.0908492756 | -1.9335483319 |
| 5/8/12 | 187.565994 | 5554.600098 | -2.5671671321 | -1.7771568718 |
| 5/9/12 | 186.919998 | 5530.100098 | -0.3444099787 | -0.4410758573 |
| 5/10/12 | 192.878006 | 5544 | 3.1874641899 | 0.2513499169 |
| 5/11/12 | 187.335007 | 5575.5 | -2.8738367401 | 0.5681818182 |
| 5/14/12 | 175.326996 | 5465.5 | -6.4099130175 | -1.9729172272 |
| 5/15/12 | 171.908997 | 5437.600098 | -1.9494995511 | -0.5104730034 |
| 5/16/12 | 174.634003 | 5405.299805 | 1.5851444936 | -0.5940174418 |
| 5/17/12 | 168.029007 | 5338.399902 | -3.7821935514 | -1.2376723848 |
| 5/18/12 | 162.671005 | 5267.600098 | -3.1887363353 | -1.3262364248 |
| 5/21/12 | 166.274002 | 5304.5 | 2.2148981006 | 0.7005068971 |
| 5/22/12 | 174.494995 | 5403.299805 | 4.9442443804 | 1.8625658403 |
| 5/23/12 | 166.735992 | 5266.399902 | -4.446547593 | -2.5336351478 |
| 5/24/12 | 171.169998 | 5350.100098 | 2.6592974599 | 1.5893247296 |
| 5/25/12 | 167.843994 | 5351.5 | -1.943099865 | 0.026165903 |
| 5/29/12 | 167.197998 | 5391.100098 | -0.3848788298 | 0.7399812763 |
| 5/30/12 | 165.766006 | 5297.299805 | -0.8564648005 | -1.7399100609 |
| 5/31/12 | 162.856003 | 5320.899902 | -1.7554883961 | 0.4455118243 |
| 6/1/12 | 160.270004 | 5260.200195 | -1.5879052368 | -1.1407789682 |
| 6/6/12 | 173.479004 | 5384.100098 | 8.2417168967 | 2.3554218168 |
| 6/7/12 | 178.143997 | 5447.799805 | 2.68908219 | 1.1831077774 |
| 6/8/12 | 175.835007 | 5435.100098 | -1.296136855 | -0.2331162571 |
| 6/11/12 | 176.020004 | 5432.399902 | 0.1052105625 | -0.0496807042 |
| 6/12/12 | 175.281006 | 5473.700195 | -0.4198375089 | 0.7602587023 |
| 6/13/12 | 173.940994 | 5483.799805 | -0.7644935584 | 0.184511567 |
| 6/14/12 | 178.052002 | 5467.100098 | 2.363449757 | -0.3045280206 |
| 6/15/12 | 185.488007 | 5478.799805 | 4.1763108061 | 0.2140020631 |
| 6/18/12 | 181.100006 | 5491.100098 | -2.3656521362 | 0.2245070716 |
| 6/19/12 | 185.302994 | 5586.299805 | 2.320810525 | 1.7337091894 |
| 6/20/12 | 190.061005 | 5622.299805 | 2.5676924573 | 0.6444337264 |
| 6/21/12 | 186.873993 | 5566.399902 | -1.67683634 | -0.9942533294 |
| 6/22/12 | 185.395996 | 5513.700195 | -0.7909056666 | -0.9467466932 |
| 6/25/12 | 179.436996 | 5450.700195 | -3.214201023 | -1.1426083714 |
| 6/26/12 | 177.729004 | 5447 | -0.9518616774 | -0.0678847647 |
| 6/27/12 | 181.100006 | 5523.899902 | 1.8967089919 | 1.4117845052 |
| 6/28/12 | 152.972 | 5493.100098 | -15.5317532126 | -0.5575735358 |
| 6/29/12 | 150.432007 | 5571.200195 | -1.6604300133 | 1.4217854328 |
| 7/2/12 | 155.559006 | 5640.600098 | 3.4081836055 | 1.2456903463 |
| 7/3/12 | 154.311996 | 5687.700195 | -0.8016315044 | 0.8350192565 |
| 7/4/12 | 153.341995 | 5684.5 | -0.6285972738 | -0.0562651844 |
| 7/5/12 | 155.373993 | 5692.600098 | 1.3251412309 | 0.1424944674 |
| 7/6/12 | 152.186996 | 5662.600098 | -2.0511778956 | -0.5269999558 |
| 7/9/12 | 150.940002 | 5627.299805 | -0.8193827546 | -0.6233937129 |
| 7/10/12 | 154.264999 | 5664.100098 | 2.2028600477 | 0.6539600568 |
| 7/11/12 | 152.095001 | 5664.5 | -1.4066690526 | 0.0070602919 |
| 7/12/12 | 151.031998 | 5608.299805 | -0.6989072573 | -0.9921474976 |
| 7/13/12 | 149.785004 | 5666.100098 | -0.82564888 | 1.0306205982 |
Systematic unsystematic parts
| ER (M) File | ER - Sent file | |||||||||||||
| Market Beta | 2.2833647702 | |||||||||||||
| ρλ,m | Corr (RJPM, RM) | 0.7839463035 | ||||||||||||
| ρλ,s | Corr (RJPM, Sent) | 0.1903206 | 0.1903206 | |||||||||||
| σλ | Standard deviation (SD -JPM) | 3.9884820512 | 3.829457 | We are using Stock SDV from ER(M) Stock file instead of calculated fomr sentiment return file as beta depended on ER-Stock and ER-Market | ||||||||||
| σM | Standard deviation (SD -M) | 1.3693632316 | ||||||||||||
| 0.7840 | ||||||||||||||
| Market Portion | ρλ,m * σλ | 3.1267557606 | ||||||||||||
| Reputal Risk | ρλ,s * σλ | 0.7590902971 | 0.7591 | |||||||||||
| Unsystematic Residual Risk | σλ (1 – ρ λ, m – ρ λ,s) | 0.1026359936 | ||||||||||||
| σλ | ρλ,m * σλ + σλ (1 – ρλ,m – ρλ,s) + ɛ | 0.1026 | ||||||||||||
| 3.9884820512 | 3.8858460577 | |||||||||||||
| E | 0.1026359936 | |||||||||||||
| Total Risk | Market + ( Unsystematic + E ) | |||||||||||||
| 3.9884820512 | 3.8858460577 | + E | ||||||||||||
| E | 0.1026359936 | |||||||||||||
| Total Unsystematic Risk = Residual Unsystematic Risk | 0.1026359936 | |||||||||||||
| σλ – [ρ λ, m * σλ] – [ρ λ, s * σλ] = σλ (1 – ρ λ, m – ρ λ,s) |
Historical-VAR
| date | close.jpmc | close.MK | expectedReturn.jpm | 41087 | 41088 | Loss | ||||||||
| 7/14/11 | 208.628006 | 5847 | Sorted ER | Number | 181.1 | 152.97 | 28.13 | = 15.53285478 | More than 10% | |||||
| 7/15/11 | 206.272003 | 5843.700195 | -1.129284148 | -15.5317532126 | 1 | -28.13 | -0.1553285478 | -15.5328547764 | ||||||
| 7/18/11 | 191.815994 | 5752.799805 | -7.0082264145 | -11.4683973173 | 2 | |||||||||
| 7/19/11 | 195.464005 | 5790 | 1.9018283741 | -9.4979658162 | 3 | Count | 251 | |||||||
| 7/20/11 | 205.626007 | 5853.799805 | 5.1989121987 | -9.433874383 | 4 | VaR = (1-percentile/100) *Total Number of Observations | ||||||||
| 7/21/11 | 221.559998 | 5899.899902 | 7.7490154249 | -9.396458471 | 5 | Var | ||||||||
| 7/22/11 | 221.328995 | 5935 | -0.1042620519 | -8.7002747662 | 6 | Var(95) | 12.55 | -6.55 | ||||||
| 7/25/11 | 211.490997 | 5925.299805 | -4.4449657398 | -8.3999129636 | 7 | -6.48 | ||||||||
| 7/26/11 | 211.307007 | 5929.700195 | -0.086996611 | -7.7648060132 | 8 | Var(99) | 2.51 | -9.4979658162 | ||||||
| 7/27/11 | 204.147995 | 5856.600098 | -3.3879671581 | -7.6156195427 | 9 | Var(99.9) | 0.251 | -9.433874383 | ||||||
| 7/28/11 | 210.520996 | 5873.200195 | 3.1217553716 | -7.379303364 | 10 | |||||||||
| 7/29/11 | 205.994995 | 5815.200195 | -2.1499048009 | -7.0082264145 | 11 | #May 10, 2012 | 40.74 | |||||||
| 8/1/11 | 200.453003 | 5774.399902 | -2.6903527438 | -6.6892480493 | 12 | #May 22, 2012 | 34.01 | -0.1651939126 | -16.5193912617 | |||||
| 8/2/11 | 200.222 | 5718.399902 | -0.1152404786 | -6.548298575 | 13 | |||||||||
| 8/3/11 | 196.296005 | 5584.5 | -1.9608209887 | -6.4099130175 | 14 | |||||||||
| 8/4/11 | 181.054001 | 5393.100098 | -7.7648060132 | -5.9276207255 | 15 | Steps to calculate Hirtorical VaR: | ||||||||
| 8/5/11 | 171.817001 | 5247 | -5.1017928071 | -5.69909086 | 16 | 1 | Calculate Expected Return using the Expected Return column | |||||||
| 8/8/11 | 162.024994 | 5069 | -5.69909086 | -5.5481915751 | 17 | 2 | Sort Expected Return colum In Ascending Order (from lower values to upper values) | |||||||
| 8/9/11 | 165.626999 | 5164.899902 | 2.2231168853 | -5.5356059 | 18 | 3 | Add Sequence column next to Sorted Expected Return in Ascending Order 1,2,3, etc | |||||||
| 8/10/11 | 151.216995 | 5007.200195 | -8.7002747662 | -5.4674589453 | 19 | 4 | Estimate VaR = (1-percentile/100) *Total Number of Observations | |||||||
| 8/11/11 | 164.287994 | 5162.799805 | 8.6438690307 | -5.3483446555 | 20 | 5 | Look up the sorted value at location calculated in VaR such as 12.55 is rounded as 13 and the Expected return is -6.5483 at this location | |||||||
| 8/12/11 | 172.925003 | 5320 | 5.2572368739 | -5.1446327486 | 21 | |||||||||
| 8/15/11 | 169.369003 | 5350.600098 | -2.0563827892 | -5.1017928071 | 22 | |||||||||
| 8/16/11 | 167.751999 | 5357.600098 | -0.954722512 | -4.6620985753 | 23 | |||||||||
| 8/17/11 | 160.684998 | 5331.600098 | -4.212767086 | -4.6472065635 | 24 | |||||||||
| 8/18/11 | 142.257004 | 5092.200195 | -11.4683973173 | -4.6111715619 | 25 | |||||||||
| 8/19/11 | 139.024002 | 5040.799805 | -2.2726487337 | -4.5999914887 | 26 | |||||||||
| 8/22/11 | 135.098007 | 5095.299805 | -2.8239692021 | -4.4527474808 | 27 | |||||||||
| 8/23/11 | 134.358994 | 5129.399902 | -0.5470199127 | -4.446547593 | 28 | |||||||||
| 8/24/11 | 138.192001 | 5205.899902 | 2.8528101364 | -4.4449657398 | 29 | |||||||||
| 8/25/11 | 145.858994 | 5131.100098 | 5.5480729308 | -4.2146187113 | 30 | |||||||||
| 8/26/11 | 143.179993 | 5129.899902 | -1.8367060724 | -4.212767086 | 31 | |||||||||
| 8/30/11 | 152.787003 | 5268.700195 | 6.7097433089 | -4.1905072197 | 32 | |||||||||
| 8/31/11 | 157.729004 | 5394.5 | 3.234568977 | -4.1732800967 | 33 | |||||||||
| 9/1/11 | 166.597 | 5418.700195 | 5.6222988639 | -4.1516370974 | 34 | |||||||||
| 9/2/11 | 152.602997 | 5292 | -8.3999129636 | -3.8263441344 | 35 | |||||||||
| 9/5/11 | 142.395004 | 5102.600098 | -6.6892480493 | -3.798612502 | 36 | |||||||||
| 9/6/11 | 139.255005 | 5156.799805 | -2.205132843 | -3.7821935514 | 37 | |||||||||
| 9/7/11 | 147.753006 | 5318.600098 | 6.1024743779 | -3.7096092691 | 38 | |||||||||
| 9/8/11 | 146.875 | 5340.399902 | -0.5942390099 | -3.588592978 | 39 | |||||||||
| 9/9/11 | 133.018997 | 5214.700195 | -9.433874383 | -3.4510460333 | 40 | |||||||||
| 9/12/11 | 130.848007 | 5129.600098 | -1.6320901893 | -3.3879671581 | 41 | |||||||||
| 9/13/11 | 136.990997 | 5174.299805 | 4.694752439 | -3.214201023 | 42 | |||||||||
| 9/14/11 | 140.408997 | 5227 | 2.4950544743 | -3.2081936502 | 43 | |||||||||
| 9/15/11 | 145.951996 | 5337.5 | 3.9477520091 | -3.1887363353 | 44 | |||||||||
| 9/16/11 | 150.940002 | 5368.399902 | 3.4175661428 | -3.1607677106 | 45 | |||||||||
| 9/19/11 | 141.056 | 5259.600098 | -6.548298575 | -3.1115594504 | 46 | |||||||||
| 9/20/11 | 142.488007 | 5363.700195 | 1.0152045996 | -3.079533702 | 47 | |||||||||
| 9/21/11 | 141.563995 | 5288.399902 | -0.648484051 | -2.932360442 | 48 | |||||||||
| 9/22/11 | 128.261993 | 5041.600098 | -9.396458471 | -2.8738367401 | 49 | |||||||||
| 9/23/11 | 134.867004 | 5066.799805 | 5.1496244877 | -2.8566902317 | 50 | |||||||||
| 9/26/11 | 144.104004 | 5089.399902 | 6.8489695226 | -2.8239692021 | 51 | |||||||||
| 9/27/11 | 155.604996 | 5294.100098 | 7.981035697 | -2.7109102787 | 52 | |||||||||
| 9/28/11 | 153.710999 | 5217.600098 | -1.2171826411 | -2.6903527438 | 53 | |||||||||
| 9/29/11 | 156.251007 | 5196.799805 | 1.6524568941 | -2.5799155175 | 54 | |||||||||
| 9/30/11 | 149.046005 | 5128.5 | -4.6111715619 | -2.5794467721 | 55 | |||||||||
| 10/3/11 | 144.335007 | 5075.5 | -3.1607677106 | -2.5671671321 | 56 | |||||||||
| 10/4/11 | 133.343002 | 4944.399902 | -7.6156195427 | -2.5476066932 | 57 | |||||||||
| 10/5/11 | 143.595993 | 5102.200195 | 7.6891856687 | -2.4950162943 | 58 | |||||||||
| 10/6/11 | 155.050995 | 5291.299805 | 7.9772434876 | -2.3656521362 | 59 | |||||||||
| 10/7/11 | 152.141006 | 5303.399902 | -1.8767947926 | -2.3081138128 | 60 | |||||||||
| 10/10/11 | 158.975998 | 5399 | 4.492537666 | -2.2877791235 | 61 | |||||||||
| 10/11/11 | 162.302002 | 5395.700195 | 2.0921422365 | -2.2874220003 | 62 | |||||||||
| 10/12/11 | 172.740005 | 5441.799805 | 6.4312225797 | -2.2726487337 | 63 | |||||||||
| 10/13/11 | 159.992996 | 5403.399902 | -7.379303364 | -2.205132843 | 64 | |||||||||
| 10/14/11 | 162.625 | 5466.399902 | 1.6450745131 | -2.1738444781 | 65 | |||||||||
| 10/17/11 | 162.901993 | 5436.700195 | 0.1703262106 | -2.1499048009 | 66 | |||||||||
| 10/18/11 | 161.748001 | 5410.399902 | -0.7083964897 | -2.0908492756 | 67 | |||||||||
| 10/19/11 | 165.766006 | 5450.5 | 2.4841141623 | -2.084143579 | 68 | |||||||||
| 10/20/11 | 158.884003 | 5384.700195 | -4.1516370974 | -2.0563827892 | 69 | |||||||||
| 10/21/11 | 168.074997 | 5488.700195 | 5.7847195605 | -2.0511778956 | 70 | |||||||||
| 10/24/11 | 172.462997 | 5548.100098 | 2.6107392999 | -2.014884967 | 71 | |||||||||
| 10/25/11 | 166.274002 | 5525.5 | -3.588592978 | -1.9608209887 | 72 | |||||||||
| 10/26/11 | 164.981003 | 5553.200195 | -0.7776314905 | -1.9494995511 | 73 | |||||||||
| 10/27/11 | 193.985992 | 5713.799805 | 17.5808053488 | -1.943099865 | 74 | |||||||||
| 10/28/11 | 185.856995 | 5702.200195 | -4.1905072197 | -1.9081843506 | 75 | |||||||||
| 10/31/11 | 180.406998 | 5544.200195 | -2.932360442 | -1.9046940143 | 76 | |||||||||
| 11/1/11 | 163.272003 | 5421.600098 | -9.4979658162 | -1.8767947926 | 77 | |||||||||
| 11/2/11 | 167.289993 | 5484.100098 | 2.4609179321 | -1.8641332101 | 78 | |||||||||
| 11/3/11 | 170.477005 | 5545.600098 | 1.9050822723 | -1.8367060724 | 79 | |||||||||
| 11/4/11 | 169.552994 | 5527.200195 | -0.542015036 | -1.7554883961 | 80 | |||||||||
| 11/7/11 | 165.673996 | 5510.799805 | -2.2877791235 | -1.7200678142 | 81 | |||||||||
| 11/8/11 | 168.121994 | 5567.299805 | 1.4775994176 | -1.67683634 | 82 | |||||||||
| 11/9/11 | 158.929993 | 5460.399902 | -5.4674589453 | -1.6604300133 | 83 | |||||||||
| 11/10/11 | 157.037003 | 5444.799805 | -1.1910841775 | -1.6376593813 | 84 | |||||||||
| 11/11/11 | 165.257996 | 5545.399902 | 5.2350674318 | -1.6320901893 | 85 | |||||||||
| 11/14/11 | 160.778 | 5519 | -2.7109102787 | -1.5879052368 | 86 | |||||||||
| 11/15/11 | 158.145004 | 5517.399902 | -1.6376593813 | -1.570868204 | 87 | |||||||||
| 11/16/11 | 159.345993 | 5509 | 0.7594226625 | -1.5544331587 | 88 | |||||||||
| 11/17/11 | 155.235001 | 5423.100098 | -2.5799155175 | -1.4993401069 | 89 | |||||||||
| 11/18/11 | 153.710999 | 5362.899902 | -0.981738648 | -1.4066690526 | 90 | |||||||||
| 11/21/11 | 145.490005 | 5222.600098 | -5.3483446555 | -1.3513543538 | 91 | |||||||||
| 11/22/11 | 140.962997 | 5206.799805 | -3.1115594504 | -1.296136855 | 92 | |||||||||
| 11/23/11 | 136.621994 | 5139.799805 | -3.079533702 | -1.255567178 | 93 | |||||||||
| 11/24/11 | 140.871002 | 5127.600098 | 3.1100468348 | -1.2171826411 | 94 | |||||||||
| 11/25/11 | 143.781006 | 5164.700195 | 2.0657225112 | -1.1910841775 | 95 | |||||||||
| 11/28/11 | 155.050995 | 5312.799805 | 7.8383016739 | -1.129284148 | 96 | |||||||||
| 11/29/11 | 156.113007 | 5337 | 0.6849436858 | -1.062947365 | 97 | |||||||||
| 11/30/11 | 166.505005 | 5505.399902 | 6.6567150295 | -1.0432730821 | 98 | |||||||||
| 12/1/11 | 163.641006 | 5489.299805 | -1.7200678142 | -0.981738648 | 99 | |||||||||
| 12/2/11 | 176.112 | 5552.299805 | 7.6209467937 | -0.954722512 | 100 | |||||||||
| 12/5/11 | 177.035995 | 5568 | 0.5246632825 | -0.9518616774 | 101 | |||||||||
| 12/6/11 | 173.664001 | 5568.700195 | -1.9046940143 | -0.9100059485 | 102 | |||||||||
| 12/7/11 | 173.063995 | 5546.899902 | -0.3454982014 | -0.864848948 | 103 | |||||||||
| 12/8/11 | 166.643997 | 5483.799805 | -3.7096092691 | -0.8564648005 | 104 | |||||||||
| 12/9/11 | 175.695999 | 5529.200195 | 5.4319400416 | -0.82564888 | 105 | |||||||||
| 12/12/11 | 167.613998 | 5427.899902 | -4.5999914887 | -0.8193827546 | 106 | |||||||||
| 12/13/11 | 164.981003 | 5490.200195 | -1.570868204 | -0.8016315044 | 107 | |||||||||
| 12/14/11 | 157.313995 | 5366.799805 | -4.6472065635 | -0.7909056666 | 108 | |||||||||
| 12/15/11 | 157.498001 | 5400.899902 | 0.1169673429 | -0.7776314905 | 109 | |||||||||
| 12/16/11 | 158.376007 | 5387.299805 | 0.5574712024 | -0.7644935584 | 110 | |||||||||
| 12/19/11 | 153.294998 | 5365 | -3.2081936502 | -0.7083964897 | 111 | |||||||||
| 12/20/11 | 158.330002 | 5419.600098 | 3.2845194336 | -0.6989072573 | 112 | |||||||||
| 12/21/11 | 158.837997 | 5389.700195 | 0.320845698 | -0.648484051 | 113 | |||||||||
| 12/22/11 | 162.671005 | 5457 | 2.4131555877 | -0.6285972738 | 114 | |||||||||
| 12/23/11 | 165.350006 | 5512.700195 | 1.6468829218 | -0.5942390099 | 115 | |||||||||
| 12/28/11 | 159.069 | 5507.399902 | -3.798612502 | -0.5717412069 | 116 | |||||||||
| 12/29/11 | 161.192993 | 5566.799805 | 1.3352651994 | -0.5470199127 | 117 | |||||||||
| 12/30/11 | 162.625 | 5572.299805 | 0.8883804273 | -0.542015036 | 118 | |||||||||
| 1/3/12 | 172.093994 | 5699.899902 | 5.8225943121 | -0.4684086319 | 119 | |||||||||
| 1/4/12 | 173.987 | 5668.5 | 1.0999837682 | -0.4198375089 | 120 | |||||||||
| 1/5/12 | 169.645996 | 5624.299805 | -2.4950162943 | -0.3848788298 | 121 | |||||||||
| 1/6/12 | 172.186005 | 5649.700195 | 1.4972407601 | -0.374445927 | 122 | |||||||||
| 1/9/12 | 164.518997 | 5612.299805 | -4.4527474808 | -0.3454982014 | 123 | |||||||||
| 1/10/12 | 173.940994 | 5696.700195 | 5.7269963784 | -0.3444099787 | 124 | |||||||||
| 1/11/12 | 175.789001 | 5670.799805 | 1.0624332755 | -0.3258740788 | 125 | |||||||||
| 1/12/12 | 178.697998 | 5662.399902 | 1.6548231024 | -0.2141027928 | 126 | |||||||||
| 1/13/12 | 185.856995 | 5636.600098 | 4.0061987712 | -0.1152404786 | 127 | |||||||||
| 1/16/12 | 183.917999 | 5657.399902 | -1.0432730821 | -0.1042620519 | 128 | |||||||||
| 1/17/12 | 184.056 | 5694 | 0.0750339829 | -0.086996611 | 129 | |||||||||
| 1/18/12 | 185.764999 | 5702.399902 | 0.9285212109 | 0 | 130 | |||||||||
| 1/19/12 | 204.470993 | 5741.200195 | 10.0697085569 | 0 | 131 | |||||||||
| 1/20/12 | 205.671997 | 5728.600098 | 0.5873713344 | 0 | 132 | |||||||||
| 1/23/12 | 205.671997 | 5782.600098 | 0 | 0 | 133 | |||||||||
| 1/24/12 | 201.837997 | 5751.899902 | -1.8641332101 | 0.0416864917 | 134 | |||||||||
| 1/25/12 | 200.684006 | 5723 | -0.5717412069 | 0.0617235546 | 135 | |||||||||
| 1/26/12 | 205.856995 | 5795.200195 | 2.5776787613 | 0.0750339829 | 136 | |||||||||
| 1/27/12 | 205.856995 | 5733.5 | 0 | 0.1052105625 | 137 | |||||||||
| 1/30/12 | 197.266006 | 5671.100098 | -4.1732800967 | 0.1169673429 | 138 | |||||||||
| 1/31/12 | 196.341995 | 5681.600098 | -0.4684086319 | 0.1605561529 | 139 | |||||||||
| 2/1/12 | 207.011002 | 5790.700195 | 5.4338894743 | 0.1703262106 | 140 | |||||||||
| 2/2/12 | 210.520996 | 5796.100098 | 1.6955591568 | 0.320845698 | 141 | |||||||||
| 2/3/12 | 219.343002 | 5901.100098 | 4.1905587412 | 0.3661347273 | 142 | |||||||||
| 2/6/12 | 213.755005 | 5892.200195 | -2.5476066932 | 0.4072908451 | 143 | |||||||||
| 2/7/12 | 218.742996 | 5890.299805 | 2.3335084014 | 0.4299989216 | 144 | |||||||||
| 2/8/12 | 215.787003 | 5875.899902 | -1.3513543538 | 0.4697320832 | 145 | |||||||||
| 2/9/12 | 215.324997 | 5895.5 | -0.2141027928 | 0.5098687938 | 146 | |||||||||
| 2/10/12 | 216.201996 | 5852.399902 | 0.4072908451 | 0.5246632825 | 147 | |||||||||
| 2/13/12 | 218.880997 | 5905.700195 | 1.2391194575 | 0.5574712024 | 148 | |||||||||
| 2/14/12 | 216.988007 | 5899.899902 | -0.864848948 | 0.5873713344 | 149 | |||||||||
| 2/15/12 | 223.223007 | 5892.200195 | 2.8734306961 | 0.5889593379 | 150 | |||||||||
| 2/16/12 | 226.225006 | 5885.399902 | 1.3448430072 | 0.6849436858 | 151 | |||||||||
| 2/17/12 | 229.412003 | 5905.100098 | 1.4087730867 | 0.7111344322 | 152 | |||||||||
| 2/20/12 | 231.768005 | 5945.299805 | 1.026974164 | 0.7526221702 | 153 | |||||||||
| 2/21/12 | 228.858002 | 5928.200195 | -1.255567178 | 0.7594226625 | 154 | |||||||||
| 2/22/12 | 220.960007 | 5916.600098 | -3.4510460333 | 0.8883804273 | 155 | |||||||||
| 2/23/12 | 222.623001 | 5937.899902 | 0.7526221702 | 0.9285212109 | 156 | |||||||||
| 2/24/12 | 228.764999 | 5935.100098 | 2.7589233693 | 0.9481257822 | 157 | |||||||||
| 2/27/12 | 225.209 | 5915.600098 | -1.5544331587 | 1.0152045996 | 158 | |||||||||
| 2/28/12 | 225.348007 | 5927.899902 | 0.0617235546 | 1.026974164 | 159 | |||||||||
| 2/29/12 | 226.317001 | 5871.5 | 0.4299989216 | 1.0624332755 | 160 | |||||||||
| 3/1/12 | 231.998993 | 5931.299805 | 2.5106341878 | 1.0999837682 | 161 | |||||||||
| 3/2/12 | 237.171005 | 5911.100098 | 2.2293251937 | 1.2391194575 | 162 | |||||||||
| 3/5/12 | 233.615005 | 5874.799805 | -1.4993401069 | 1.2879870189 | 163 | |||||||||
| 3/6/12 | 220.682999 | 5765.799805 | -5.5356059 | 1.3251412309 | 164 | |||||||||
| 3/7/12 | 220.774994 | 5791.399902 | 0.0416864917 | 1.3352651994 | 165 | |||||||||
| 3/8/12 | 222.345001 | 5859.700195 | 0.7111344322 | 1.3448430072 | 166 | |||||||||
| 3/9/12 | 222.345001 | 5887.5 | 0 | 1.4087730867 | 167 | |||||||||
| 3/12/12 | 217.865005 | 5892.799805 | -2.014884967 | 1.4775994176 | 168 | |||||||||
| 3/13/12 | 221.283005 | 5955.899902 | 1.5688614149 | 1.4941096824 | 169 | |||||||||
| 3/14/12 | 229.828003 | 5945.399902 | 3.8615699385 | 1.4972407601 | 170 | |||||||||
| 3/15/12 | 230.197006 | 5940.700195 | 0.1605561529 | 1.5688614149 | 171 | |||||||||
| 3/16/12 | 234.630997 | 5965.600098 | 1.9261723152 | 1.5851444936 | 172 | |||||||||
| 3/19/12 | 232.136993 | 5961.100098 | -1.062947365 | 1.6450745131 | 173 | |||||||||
| 3/20/12 | 226.779007 | 5891.399902 | -2.3081138128 | 1.6468829218 | 174 | |||||||||
| 3/21/12 | 226.039993 | 5892 | -0.3258740788 | 1.6524568941 | 175 | |||||||||
| 3/22/12 | 221.328995 | 5845.700195 | -2.084143579 | 1.6548231024 | 176 | |||||||||
| 3/23/12 | 225.856003 | 5854.899902 | 2.045375031 | 1.6955591568 | 177 | |||||||||
| 3/26/12 | 228.764999 | 5902.700195 | 1.2879870189 | 1.8967089919 | 178 | |||||||||
| 3/27/12 | 232.182999 | 5869.600098 | 1.4941096824 | 1.9018283741 | 179 | |||||||||
| 3/28/12 | 226.871994 | 5809 | -2.2874220003 | 1.9050822723 | 180 | |||||||||
| 3/29/12 | 216.294998 | 5742 | -4.6620985753 | 1.9261723152 | 181 | |||||||||
| 3/30/12 | 217.311005 | 5768.5 | 0.4697320832 | 2.045375031 | 182 | |||||||||
| 4/2/12 | 218.419006 | 5874.899902 | 0.5098687938 | 2.0657225112 | 183 | |||||||||
| 4/3/12 | 212.785004 | 5838.299805 | -2.5794467721 | 2.0921422365 | 184 | |||||||||
| 4/4/12 | 201.837997 | 5703.799805 | -5.1446327486 | 2.2028600477 | 185 | |||||||||
| 4/5/12 | 202.576996 | 5723.700195 | 0.3661347273 | 2.2148981006 | 186 | |||||||||
| 4/10/12 | 190.569 | 5595.600098 | -5.9276207255 | 2.2231168853 | 187 | |||||||||
| 4/11/12 | 195.925995 | 5634.700195 | 2.8110526896 | 2.2293251937 | 188 | |||||||||
| 4/12/12 | 206.410995 | 5710.5 | 5.3515104006 | 2.320810525 | 189 | |||||||||
| 4/13/12 | 198.513 | 5651.799805 | -3.8263441344 | 2.3335084014 | 190 | |||||||||
| 4/16/12 | 194.725006 | 5666.299805 | -1.9081843506 | 2.363449757 | 191 | |||||||||
| 4/17/12 | 203.731995 | 5767 | 4.625491705 | 2.4131555877 | 192 | |||||||||
| 4/18/12 | 197.912003 | 5745.299805 | -2.8566902317 | 2.4609179321 | 193 | |||||||||
| 4/19/12 | 196.110992 | 5744.600098 | -0.9100059485 | 2.4841141623 | 194 | |||||||||
| 4/20/12 | 197.266006 | 5772.200195 | 0.5889593379 | 2.4950544743 | 195 | |||||||||
| 4/23/12 | 188.951996 | 5665.600098 | -4.2146187113 | 2.5106341878 | 196 | |||||||||
| 4/24/12 | 194.910004 | 5709.5 | 3.1531860611 | 2.5676924573 | 197 | |||||||||
| 4/25/12 | 194.910004 | 5718.899902 | 0 | 2.5776787613 | 198 | |||||||||
| 4/26/12 | 196.757996 | 5748.700195 | 0.9481257822 | 2.6107392999 | 199 | |||||||||
| 4/27/12 | 206.087006 | 5777.100098 | 4.7413625823 | 2.6592974599 | 200 | |||||||||
| 4/30/12 | 201.606995 | 5737.799805 | -2.1738444781 | 2.68908219 | 201 | |||||||||
| 5/1/12 | 208.951004 | 5812.200195 | 3.6427352136 | 2.7589233693 | 202 | |||||||||
| 5/2/12 | 197.358002 | 5758.100098 | -5.5481915751 | 2.8110526896 | 203 | |||||||||
| 5/3/12 | 196.619003 | 5766.600098 | -0.374445927 | 2.8528101364 | 204 | |||||||||
| 5/4/12 | 192.507996 | 5655.100098 | -2.0908492756 | 2.8734306961 | 205 | |||||||||
| 5/8/12 | 187.565994 | 5554.600098 | -2.5671671321 | 3.1100468348 | 206 | |||||||||
| 5/9/12 | 186.919998 | 5530.100098 | -0.3444099787 | 3.1217553716 | 207 | |||||||||
| 5/10/12 | 192.878006 | 5544 | 3.1874641899 | 3.1531860611 | 208 | |||||||||
| 5/11/12 | 187.335007 | 5575.5 | -2.8738367401 | 3.1874641899 | 209 | |||||||||
| 5/14/12 | 175.326996 | 5465.5 | -6.4099130175 | 3.234568977 | 210 | |||||||||
| 5/15/12 | 171.908997 | 5437.600098 | -1.9494995511 | 3.2845194336 | 211 | |||||||||
| 5/16/12 | 174.634003 | 5405.299805 | 1.5851444936 | 3.4081836055 | 212 | |||||||||
| 5/17/12 | 168.029007 | 5338.399902 | -3.7821935514 | 3.4175661428 | 213 | |||||||||
| 5/18/12 | 162.671005 | 5267.600098 | -3.1887363353 | 3.6427352136 | 214 | |||||||||
| 5/21/12 | 166.274002 | 5304.5 | 2.2148981006 | 3.8615699385 | 215 | |||||||||
| 5/22/12 | 174.494995 | 5403.299805 | 4.9442443804 | 3.9477520091 | 216 | |||||||||
| 5/23/12 | 166.735992 | 5266.399902 | -4.446547593 | 4.0061987712 | 217 | |||||||||
| 5/24/12 | 171.169998 | 5350.100098 | 2.6592974599 | 4.1763108061 | 218 | |||||||||
| 5/25/12 | 167.843994 | 5351.5 | -1.943099865 | 4.1905587412 | 219 | |||||||||
| 5/29/12 | 167.197998 | 5391.100098 | -0.3848788298 | 4.492537666 | 220 | |||||||||
| 5/30/12 | 165.766006 | 5297.299805 | -0.8564648005 | 4.625491705 | 221 | |||||||||
| 5/31/12 | 162.856003 | 5320.899902 | -1.7554883961 | 4.694752439 | 222 | |||||||||
| 6/1/12 | 160.270004 | 5260.200195 | -1.5879052368 | 4.7413625823 | 223 | |||||||||
| 6/6/12 | 173.479004 | 5384.100098 | 8.2417168967 | 4.9442443804 | 224 | |||||||||
| 6/7/12 | 178.143997 | 5447.799805 | 2.68908219 | 5.1496244877 | 225 | |||||||||
| 6/8/12 | 175.835007 | 5435.100098 | -1.296136855 | 5.1989121987 | 226 | |||||||||
| 6/11/12 | 176.020004 | 5432.399902 | 0.1052105625 | 5.2350674318 | 227 | |||||||||
| 6/12/12 | 175.281006 | 5473.700195 | -0.4198375089 | 5.2572368739 | 228 | |||||||||
| 6/13/12 | 173.940994 | 5483.799805 | -0.7644935584 | 5.3515104006 | 229 | |||||||||
| 6/14/12 | 178.052002 | 5467.100098 | 2.363449757 | 5.4319400416 | 230 | |||||||||
| 6/15/12 | 185.488007 | 5478.799805 | 4.1763108061 | 5.4338894743 | 231 | |||||||||
| 6/18/12 | 181.100006 | 5491.100098 | -2.3656521362 | 5.5480729308 | 232 | |||||||||
| 6/19/12 | 185.302994 | 5586.299805 | 2.320810525 | 5.6222988639 | 233 | |||||||||
| 6/20/12 | 190.061005 | 5622.299805 | 2.5676924573 | 5.7269963784 | 234 | |||||||||
| 6/21/12 | 186.873993 | 5566.399902 | -1.67683634 | 5.7847195605 | 235 | |||||||||
| 6/22/12 | 185.395996 | 5513.700195 | -0.7909056666 | 5.8225943121 | 236 | |||||||||
| 6/25/12 | 179.436996 | 5450.700195 | -3.214201023 | 6.1024743779 | 237 | |||||||||
| 6/26/12 | 177.729004 | 5447 | -0.9518616774 | 6.4312225797 | 238 | |||||||||
| 6/27/12 | 181.100006 | 5523.899902 | 1.8967089919 | 6.6567150295 | 239 | |||||||||
| 6/28/12 | 152.972 | 5493.100098 | -15.5317532126 | 6.7097433089 | 240 | |||||||||
| 6/29/12 | 150.432007 | 5571.200195 | -1.6604300133 | 6.8489695226 | 241 | |||||||||
| 7/2/12 | 155.559006 | 5640.600098 | 3.4081836055 | 7.6209467937 | 242 | |||||||||
| 7/3/12 | 154.311996 | 5687.700195 | -0.8016315044 | 7.6891856687 | 243 | |||||||||
| 7/4/12 | 153.341995 | 5684.5 | -0.6285972738 | 7.7490154249 | 244 | |||||||||
| 7/5/12 | 155.373993 | 5692.600098 | 1.3251412309 | 7.8383016739 | 245 | |||||||||
| 7/6/12 | 152.186996 | 5662.600098 | -2.0511778956 | 7.9772434876 | 246 | |||||||||
| 7/9/12 | 150.940002 | 5627.299805 | -0.8193827546 | 7.981035697 | 247 | |||||||||
| 7/10/12 | 154.264999 | 5664.100098 | 2.2028600477 | 8.2417168967 | 248 | |||||||||
| 7/11/12 | 152.095001 | 5664.5 | -1.4066690526 | 8.6438690307 | 249 | |||||||||
| 7/12/12 | 151.031998 | 5608.299805 | -0.6989072573 | 10.0697085569 | 250 | |||||||||
| 7/13/12 | 149.785004 | 5666.100098 | -0.82564888 | 17.5808053488 | 251 |
Market Beta
| H | |
| Steps to Calculate Market Beta: | |
| Use MS Excel "Slope" function, and input company's expected return and Market Expected Return | |
| e.g | SLOPE(BARC_StockandMarket_Risk_Return!D3:D253,BARC_StockandMarket_Risk_Return!E3:E253) |
