Finance Derivative homework 1 question
Karantin
fin_assignment.xlsxResponse
| Group Members | ||
| Family Name | Given Name | Student ID # |
Enter your response here. Alter the size of the box, if required. Please clearly reference any quantitative work doen elsewhere in the workbook.
Returns
| HPRs | ||||
| TSX | MSCI USA | Unhedged | Hedged | |
| Date | in C$ | In US$ | US$ | US$ |
| 1/31/02 | -0.004362107 | -0.0141019086 | -0.0038213368 | 0.0002255215 |
| 2/28/02 | -0.0003742241 | -0.019525914 | 0.0089925795 | 0.000182367 |
| 3/29/02 | 0.0301509003 | 0.0372887259 | -0.0056715488 | 0.0001869741 |
| 4/30/02 | -0.0233730308 | -0.0648573452 | -0.0161088128 | 0.0002507208 |
| 5/31/02 | 0.0004419109 | -0.007438094 | -0.0265655858 | 0.0004332038 |
| 6/28/02 | -0.064554355 | -0.0762089972 | -0.0046465969 | 0.0006413613 |
| 7/31/02 | -0.0746793699 | -0.0718881919 | 0.0416858439 | 0.0007166809 |
| 8/30/02 | 0.0022174812 | 0.0047604594 | -0.0153380042 | 0.0008584233 |
| 9/30/02 | -0.0629425065 | -0.1128414972 | 0.0167948718 | 0.0009487179 |
| 10/31/02 | 0.0121231254 | 0.0908375112 | -0.0130500567 | 0.000857395 |
| 11/29/02 | 0.0527665061 | 0.0601941755 | 0.0007026509 | 0.0009453849 |
| 12/31/02 | 0.0091397332 | -0.0603897036 | 0.0084258905 | 0.0011872846 |
| 1/31/03 | -0.0054126604 | -0.0241492126 | -0.0305101912 | 0.0012153437 |
| 2/28/03 | -0.0002108557 | -0.0152201879 | -0.0272917211 | 0.001142596 |
| 3/31/03 | -0.0297464436 | 0.0093123821 | -0.0126527051 | 0.0013827359 |
| 4/30/03 | 0.0390634751 | 0.0835486759 | -0.0247119209 | 0.0015228254 |
| 5/30/03 | 0.0432039906 | 0.0536558396 | -0.0427296807 | 0.0017984107 |
| 6/30/03 | 0.0205498415 | 0.0123944538 | -0.0105949174 | 0.0016529527 |
| 7/31/03 | 0.0400908176 | 0.0185699019 | 0.0364305428 | 0.0020091996 |
| 8/29/03 | 0.0362565345 | 0.0187639068 | -0.0149831351 | 0.0017539499 |
| 9/30/03 | -0.010009927 | -0.0115437399 | -0.0271780269 | 0.0014562232 |
| 10/31/03 | 0.0484189354 | 0.0570827433 | -0.0232687391 | 0.0014746749 |
| 11/28/03 | 0.0124681356 | 0.0096816398 | -0.0137703426 | 0.0014263495 |
| 12/31/03 | 0.048320447 | 0.0519631817 | -0.0058850681 | 0.0014847296 |
| 1/30/04 | 0.0375358735 | 0.0181170429 | 0.0295221513 | 0.0014006578 |
| 2/27/04 | 0.0324306608 | 0.0121334693 | 0.0085312688 | 0.0012101624 |
| 3/31/04 | -0.021079013 | -0.0158823437 | -0.0204956214 | 0.0010657723 |
| 4/30/04 | -0.0389019781 | -0.0153536096 | 0.0464143047 | 0.0009815484 |
| 5/31/04 | 0.0225485611 | 0.0133019576 | -0.0077440465 | 0.0008652972 |
| 6/30/04 | 0.0172819809 | 0.0188912968 | -0.0174776491 | 0.0008280815 |
| 7/30/04 | -0.0092407012 | -0.0340486171 | -0.0087637516 | 0.000611598 |
| 8/31/04 | -0.0080985164 | 0.00512022 | -0.0085778781 | 0.0004815651 |
| 9/30/04 | 0.0367017495 | 0.0109803691 | -0.039503643 | 0.0004022465 |
| 10/29/04 | 0.0243694955 | 0.0152926089 | -0.0361897989 | 0.0004503971 |
| 11/30/04 | 0.01940965 | 0.0411218627 | -0.025169092 | 0.0005083009 |
| 12/31/04 | 0.0264268579 | 0.0350537406 | 0.0076531685 | 0.000336403 |
| 1/31/05 | -0.0039804354 | -0.0247566353 | 0.0355548137 | 0.0002003088 |
| 2/28/05 | 0.0517281981 | 0.0208553143 | -0.0093088858 | 0 |
| 3/31/05 | -0.0037806451 | -0.0159713656 | -0.015741946 | -0.0000569476 |
| 4/29/05 | -0.0238039383 | -0.0180676611 | 0.0372773484 | -0.0002149027 |
| 5/31/05 | 0.02689734 | 0.0326910471 | -0.0006374756 | -0.0004462329 |
| 6/30/05 | 0.0332752529 | 0.0025060683 | -0.0234023043 | -0.0005262528 |
| 7/29/05 | 0.053116143 | 0.0375739594 | 0.0009389288 | -0.0006694971 |
| 8/31/05 | 0.0250403692 | -0.0092856318 | -0.0308740161 | -0.0008320078 |
| 9/30/05 | 0.0341335554 | 0.0085687404 | -0.0231461998 | -0.0008669304 |
| 10/31/05 | -0.0565044453 | -0.0164050058 | 0.0163277615 | -0.0008443908 |
| 11/30/05 | 0.0441778369 | 0.0404071494 | -0.0093255903 | -0.0008562587 |
| 12/30/05 | 0.0441189565 | 0.0005614527 | -0.0003423046 | -0.0009413376 |
| 1/31/06 | 0.0606128 | 0.0272947893 | -0.021272953 | -0.0009159783 |
| 2/28/06 | -0.0201631185 | 0.001014709 | -0.0046794367 | -0.000787195 |
| 3/31/06 | 0.0390066294 | 0.0128255969 | 0.0251768531 | -0.0007293818 |
| 4/28/06 | 0.0088918563 | 0.0131822858 | -0.0394736842 | -0.0008486199 |
| 5/31/06 | -0.03564226 | -0.0295902745 | -0.0174914105 | -0.0008210254 |
| 6/30/06 | -0.0082026716 | 0.0011216877 | 0.0101276171 | -0.0007902266 |
| 7/31/06 | 0.0203113935 | 0.0033390691 | 0.0163204748 | -0.0009621437 |
| 8/31/06 | 0.0226394011 | 0.0241568052 | -0.0181375802 | -0.0009643884 |
| 9/29/06 | -0.023204599 | 0.0254574262 | 0.0053165127 | -0.0008920928 |
| 10/31/06 | 0.050939695 | 0.034173984 | 0.0043024246 | -0.0008784117 |
| 11/30/06 | 0.035206434 | 0.0198441059 | 0.0192333437 | -0.0008657236 |
| 12/29/06 | 0.0149754739 | 0.012145004 | 0.0190017513 | -0.0009457093 |
| 1/31/07 | 0.0115350767 | 0.0181223338 | 0.0143507777 | -0.0009108877 |
| 2/28/07 | 0.002538518 | -0.0182894682 | -0.006650288 | -0.0008048119 |
| 3/30/07 | 0.0117487092 | 0.01081526 | -0.0161187156 | -0.0009381263 |
| 4/30/07 | 0.0206678536 | 0.0428660604 | -0.0420404802 | -0.0008754822 |
| 5/31/07 | 0.049913912 | 0.0350197922 | -0.0326200063 | -0.0009229516 |
| 6/29/07 | -0.0081785504 | -0.0167205052 | -0.0050042091 | -0.0009540735 |
| 7/31/07 | -0.0012656309 | -0.0309531878 | 0.003760282 | -0.000733255 |
| 8/31/07 | -0.0129420908 | 0.0151847678 | -0.0092718333 | -0.000786701 |
| 9/28/07 | 0.0345581668 | 0.0379580774 | -0.0606418679 | -0.000623907 |
| 10/31/07 | 0.0390961581 | 0.0168522856 | -0.0441783234 | -0.000301902 |
| 11/30/07 | -0.0621557246 | -0.0422109765 | 0.052432091 | -0.0000736997 |
| 12/31/07 | 0.0133697704 | -0.0057099236 | -0.012655062 | -0.0004001601 |
| 1/31/08 | -0.0471755874 | -0.0606901181 | 0.0215309793 | -0.0003951568 |
| 2/29/08 | 0.0344649604 | -0.0310894745 | -0.0285657608 | 0.0007934934 |
| 3/31/08 | -0.0143029802 | -0.0036834963 | 0.0476312028 | 0.0005411476 |
| 4/30/08 | 0.0459751618 | 0.0494975115 | -0.0184688855 | 0.0006140052 |
| 5/30/08 | 0.0579367241 | 0.0159566464 | -0.0133055307 | 0.000278026 |
| 6/30/08 | -0.0141486142 | -0.0815062181 | 0.0209821878 | 0.0004629164 |
| 7/31/08 | -0.0586024707 | -0.0114366253 | 0.0108422453 | 0.0004336898 |
| 8/29/08 | 0.0154412309 | 0.0136967908 | 0.0334454683 | 0.0004290381 |
| 9/30/08 | -0.1444585898 | -0.0917258515 | 0.0031608246 | 0.0004340237 |
| 10/31/08 | -0.166688091 | -0.1710158728 | 0.143575997 | -0.0017118134 |
| 11/28/08 | -0.0473641023 | -0.0737851779 | 0.0208496114 | 0.0003947855 |
| 12/31/08 | -0.0263918903 | 0.0129661973 | -0.0053980019 | 0.000056397 |
| 1/30/09 | -0.0296107886 | -0.0814663144 | 0.0043337384 | 0.0005184285 |
| 2/27/09 | -0.0631082902 | -0.102490145 | 0.0233899262 | 0.0003871436 |
| 3/31/09 | 0.0778863224 | 0.0856889499 | -0.0084328329 | 0.0000315246 |
| 4/30/09 | 0.0726089294 | 0.0960180217 | -0.0556769861 | -0.0000715336 |
| 5/29/09 | 0.1146323662 | 0.0550189698 | -0.0776870634 | -0.0001346688 |
| 6/30/09 | 0.0034419186 | 0.0022632108 | 0.0598193101 | -0.0002007666 |
| 7/31/09 | 0.0421771993 | 0.0753768183 | -0.0691006157 | -0.000180824 |
| 8/31/09 | 0.0094698464 | 0.0347797814 | 0.0158634724 | -0.0001109981 |
| 9/30/09 | 0.0514130302 | 0.0387893774 | -0.0227179604 | -0.0000273162 |
| 10/30/09 | -0.0404337098 | -0.0193700061 | 0.0036336532 | -0.0000465853 |
| 11/30/09 | 0.051548086 | 0.0594935024 | -0.0213052358 | -0.0000092833 |
| 12/31/09 | 0.0292587899 | 0.0205995728 | -0.0055963955 | 0.0000094854 |
| 1/29/10 | -0.0534787907 | -0.0350799989 | 0.0163590404 | -0.0000286164 |
| 2/26/10 | 0.0497297051 | 0.030861947 | -0.0080244017 | 0.0000469263 |
| 3/31/10 | 0.0380793891 | 0.0598854842 | -0.0401154265 | 0.0000473059 |
| 4/30/10 | 0.0166564357 | 0.0160232002 | -0.0016756197 | 0.0000098566 |
| 5/31/10 | -0.0347820206 | -0.0806271717 | 0.0360369255 | -0.0000888582 |
| 6/30/10 | -0.0371355523 | -0.0531759998 | 0.0126745128 | 0.0000762377 |
| 7/30/10 | 0.0395892939 | 0.0698896774 | -0.0307721263 | 0.0001882087 |
| 8/31/10 | 0.0189689203 | -0.0444192839 | 0.0353415214 | 0.0003592407 |
| 9/30/10 | 0.0408814969 | 0.0909166349 | -0.0379800253 | 0.0004688892 |
| 10/29/10 | 0.027104933 | 0.0393794876 | -0.0080421114 | 0.000682361 |
| 11/30/10 | 0.0237035349 | 0.0011152362 | 0.0093356918 | 0.000668239 |
| 12/31/10 | 0.040908611 | 0.0668766681 | -0.0325674228 | 0.0006328498 |
| 1/31/11 | 0.0098614004 | 0.0239762851 | 0.0066421778 | 0.0006340261 |
| 2/28/11 | 0.0443684469 | 0.0335271648 | -0.0256935766 | 0.0005698575 |
| 3/31/11 | 0.0012460065 | 0.0011900944 | -0.0018470063 | 0.0006361911 |
| 4/29/11 | -0.0102170503 | 0.0305998839 | -0.0245695194 | 0.0006579286 |
| 5/31/11 | -0.0086739138 | -0.0108402931 | 0.0210781472 | 0.0006955789 |
| 6/30/11 | -0.0333023445 | -0.0169553795 | -0.0038705682 | 0.0008257212 |
| 7/29/11 | -0.0249834701 | -0.0194775737 | -0.0113459745 | 0.0007771215 |
| 8/31/11 | -0.0120880672 | -0.0553118916 | 0.0248388618 | 0.0006602735 |
| 9/30/11 | -0.0866141553 | -0.0719236527 | 0.0656542414 | 0.0007465358 |
| 10/31/11 | 0.0560705394 | 0.1098657618 | -0.0468307663 | 0.000758121 |
| 11/30/11 | -0.0021122077 | -0.002741676 | 0.023659703 | 0.0006946892 |
| 12/30/11 | -0.0169901014 | 0.0094670676 | 0.0014752889 | 0.0007868208 |
