10 Years of Monthly Price Data from the Yahoo Finance Website
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10 Years of Monthly Price Data from the Yahoo Finance Website
Question Description
calculate the data correctly.
Part 1: Instructions for individual stocksDownload 10 years of monthly price data for two stocks and the S&P 500 (GSPC) from Yahoo’s financial website.
On Yahoo, the stocks chosen must have at least ten years of price data.
For each stock and the S&P 500, do the following:
1) Compute monthly returns for all months that have been downloaded.
2) Calculate the monthly returns’ arithmetic mean.
3) Calculate the monthly returns’ geometric mean.
4) Annualize the geometric and arithmetic means found in steps 2 and 3 above.
5) Calculate the CWI over a ten-year period.
For each stock, do the following:
1) Using all 10 years of data, calculate the return correlation with the S&P 500.
2) Using all 10 years of data, calculate the stock’s beta.
3) Calculate the beta using the first five years of data (out of ten).
4) Calculate the beta using the data from the last five (of ten) years.
5) Examine whether there has been a change in systemic risk over the last ten years (write conclusion in one sentence)
Part 2: Exchange-Traded Funds
Instructions
Download two years of monthly data for the following ETFs from Yahoo Finance: 1) the S&P 500 (SPY), 2) a bond ETF of your choice, and 3) a foreign equity ETF. On Yahoo, the selected ETFs must have at least two years of price data.
For each ETF, do the following:
1) Determine the correlation between the ETFs.
2) Create a correlation matrix with the results (example below).
SPYBondForeign
SPY1.0
Bond0.501.0
Foreign0.750.651.0
What to Turn In and How to Do ItPut your name on your spreadsheets and email them to the instructor directly (stephen.ciccone@unh.edu) or through the Canvas messaging system.
10 Years of Monthly Price Data from the Yahoo Finance Website
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