How would I do steps A-E? Expected return, standard deviation, and the capital a
ID: 2790341 • Letter: H
Question
How would I do steps A-E?
Expected return, standard deviation, and the capital asset pricing model) Below you have been provided the prices for Citigroup and the S&P; 500 Index. CITIGROUF S&P; 500 INDEX 2014 May June July August 47.57 47.10 48.91 51.65 1.82 53.53 53.97 54.11 $1,924 1,960 1,931 2,003 1,972 2,018 2,068 2,059 October December 2015 January February March April Maj 46.95 52.42 51.52 53.32 54.97 1,995 2,105 2,068 2,086 2,128 a. Calculate the monthly holding-period returns for Citigroup and the S&P; 500 Index. b. What are the average monthly returns and standard deviations for each? c. Graph the Citigroup returns against the S&P; 500 Index returns. d. Use a spreadsheet to compute the slope of the characteristic line. e. Interpret your findings.Explanation / Answer
Holding Period Return can be calculated using following formula-
HPR = (Closing price - Initial price)/Initial price x 100
Using above formula following will be HPR for the Citi Group & S&P 500 Index-
S&P 500 Index
CITI Group
Month
Accretion
HPR
Accretion
HPR
Jun-14
-0.47
-0.99%
36
1.87%
Jul-14
1.81
3.84%
-29
-1.48%
Aug-14
2.74
5.60%
72
3.73%
Sep-14
0.17
0.33%
-31
-1.55%
Oct-14
1.71
3.30%
46
2.33%
Nov-14
0.44
0.82%
50
2.48%
Dec-14
0.14
0.26%
-9
-0.44%
Jan-15
-7.16
-13.23%
-64
-3.11%
Feb-15
5.47
11.65%
110
5.51%
Mar-15
-0.9
-1.72%
-37
-1.76%
Apr-15
1.8
3.49%
18
0.87%
May-15
1.65
3.09%
42
2.01%
b) Average Monthly Return- (Sum of Monthly Returns as calculated above)/No. of Months
CITI Group- 16.44/12 = 1.37%
S&P 500 Index- 10.46/12 = 0.87%
S&P 500 Index
CITI Group
Month
Accretion
HPR
Accretion
HPR
Jun-14
-0.47
-0.99%
36
1.87%
Jul-14
1.81
3.84%
-29
-1.48%
Aug-14
2.74
5.60%
72
3.73%
Sep-14
0.17
0.33%
-31
-1.55%
Oct-14
1.71
3.30%
46
2.33%
Nov-14
0.44
0.82%
50
2.48%
Dec-14
0.14
0.26%
-9
-0.44%
Jan-15
-7.16
-13.23%
-64
-3.11%
Feb-15
5.47
11.65%
110
5.51%
Mar-15
-0.9
-1.72%
-37
-1.76%
Apr-15
1.8
3.49%
18
0.87%
May-15
1.65
3.09%
42
2.01%
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