investment finance

sample.xls

sample

					Daily Returns (Holding Period = 1 day)
DATE	Mkt Index	ABC	XYZ		Mkt Index	ABC	XYZ
0	1000.00	53.6875	54.125
1	1002.03	52.59375	55.4375		0.002029	-0.020373	0.024249
2	1011.59	53.625	55.4375		0.009546	0.019608	0.000000
3	1028.12	54.53125	56.3125		0.016332	0.016900	0.015784
4	1034.20	54.125	57.375		0.005920	-0.007450	0.018868
5	1034.78	55.4375	56.125		0.000561	0.024249	-0.021786
6	1016.23	55.4375	54.125		-0.017927	0.000000	-0.035635
7	1036.52	56.3125	55.4375		0.019966	0.015784	0.024249
8	1046.38	57.375	55.4375		0.009508	0.018868	0.000000
9	1042.90	56.125	56.3125		-0.003324	-0.021786	0.015784
10	1045.80	55.375	57.375		0.002779	-0.013363	0.018868
				Daily Mean	0.004539	0.003244	0.006038
Approx	254			Annualized	1.152903	0.823889	1.533666
trading days in a year.				Variance	0.025921	0.073197	0.095662
				Std Dev	16.10%	27.05%	30.93%
			Corr Coeff	w/MKT	1	0.451286	0.6403408
		rho =>	Corr Coeff	w/ABC	0.4512856	1	-0.3962034
			Corr Coeff	w/XYZ	0.6403408	-0.396203	1
Expected Market Return			25.00%	Beta	1	0.7584	1.2301
Risk Free Rate			5.00%	CAPM	25.00%	20.17%	29.60%