FIN-449 Төслийн ба компанийг санхүүгийн загварчлал

Monthly mean 2.61% -0.24%

Monthly variance 0.012477 0.010174
Monthly standard
deviation 11.17% 10.09%

Annual mean 31.31% -2.91%

Annual variance 0.149726 0.12209
Annual standard
deviation 38.69% 34.94%

date AAPL Google AAPL Google Product

2/Jul/07 7.66% 10.74% 0.0505 0.1098 0.0055
1/Aug/07 4.97% -7.47% 0.0236 (0.0723) (0.0017)
4/Sep/07 10.28% -1.13% 0.0767 (0.0089) (0.0007)
1/Oct/07 21.33% -14.03% 0.1872 (0.1379) (0.0258)
1/Nov/07 -4.15% 4.91% (0.0676) 0.0515 (0.0035)
3/Dec/07 8.35% 10.97% 0.0574 0.1121 0.0064
2/Jan/08 -38.07% -17.58% (0.4068) (0.1734) 0.0705
1/Feb/08 -7.95% 4.37% (0.1056) 0.0461 (0.0049)
3/Mar/08 13.79% 2.81% 0.1118 0.0305 0.0034
1/Apr/08 19.24% 7.55% 0.1663 0.0779 0.0130
1/May/08 8.17% 4.44% 0.0556 0.0468 0.0026
2/Jun/08 -11.98% -2.15% (0.1459) (0.0191) 0.0028
1/Jul/08 -5.20% -1.07% (0.0781) (0.0083) 0.0006
1/Aug/08 6.44% -6.66% 0.0383 (0.0642) (0.0025)
2/Sep/08 -39.98% 9.93% (0.4259) 0.1017 (0.0433)
1/Oct/08 -5.49% -15.46% (0.0810) (0.1522) 0.0123
3/Nov/08 -14.93% -15.56% (0.1754) (0.1532) 0.0269
1/Dec/08 -8.23% 7.45% (0.1084) 0.0769 (0.0083)
2/Jan/09 5.45% -8.59% 0.0284 (0.0835) (0.0024)
2/Feb/09 -0.91% 8.75% (0.0352) 0.0899 (0.0032)
2/Mar/09 16.30% 7.93% 0.1369 0.0817 0.0112
1/Apr/09 17.98% 7.58% 0.1537 0.0782 0.0120
1/May/09 7.63% -7.37% 0.0502 (0.0713) (0.0036)
1/Jun/09 4.76% 0.59% 0.0215 0.0083 0.0002
1/Jul/09 13.73% 15.69% 0.1112 0.1593 0.0177
3/Aug/09 2.91% -6.15% 0.0030 (0.0591) (0.0002)
1/Sep/09 9.70% -8.38% 0.0709 (0.0814) (0.0058)
1/Oct/09 1.69% -7.81% (0.0092) (0.0757) 0.0007
2/Nov/09 5.88% -7.14% 0.0327 (0.0690) (0.0023)
1/Dec/09 5.27% -4.12% 0.0266 (0.0388) (0.0010)
4/Jan/10 -9.28% -4.96% (0.1189) (0.0472) 0.0056
1/Feb/10 6.33% -1.04% 0.0372 (0.0080) (0.0003)
1/Mar/10 13.84% -5.23% 0.1123 (0.0499) (0.0056)
 1/Apr/10 10.53% -12.90% 0.0792 (0.1266) (0.0100)
3/May/10 -1.63% -2.94% (0.0424) (0.0270) 0.0011
1/Jun/10 -2.10% 0.16% (0.0471) 0.0040 (0.0002)
1/Jul/10 2.25% -9.56% (0.0036) (0.0932) 0.0003
2/Aug/10 -5.66% -4.89% (0.0827) (0.0465) 0.0038
1/Sep/10 15.46% 20.43% 0.1285 0.2067 0.0266
1/Oct/10 5.90% 10.84% 0.0329 0.1108 0.0036
1/Nov/10 3.32% 14.56% 0.0071 0.1480 0.0011
1/Dec/10 3.60% 2.23% 0.0099 0.0247 0.0002
3/Jan/11 5.07% 10.54% 0.0246 0.1078 0.0027
1/Feb/11 4.01% 10.69% 0.0140 0.1093 0.0015
1/Mar/11 -1.34% -1.98% (0.0395) (0.0174) 0.0007
1/Apr/11 0.46% -26.53% (0.0215) (0.2629) 0.0056
2/May/11 -0.66% 6.74% (0.0327) 0.0698 (0.0023)
1/Jun/11 -3.56% 18.03% (0.0617) 0.1827 (0.0113)
1/Jul/11 15.12% 20.32% 0.1251 0.2056 0.0257
1/Aug/11 -1.46% 0.22% (0.0407) 0.0046 (0.0002)
1/Sep/11 -0.92% 2.00% (0.0353) 0.0224 (0.0008)
3/Oct/11 5.97% -22.02% 0.0336 (0.2178) (0.0073)
1/Nov/11 -5.74% -9.62% (0.0835) (0.0938) 0.0078
1/Dec/11 5.79% -1.02% 0.0318 (0.0078) (0.0002)
3/Jan/12 11.97% 2.46% 0.0936 0.0270 0.0025
1/Feb/12 17.25% -4.86% 0.1464 (0.0462) (0.0068)
1/Mar/12 10.01% -5.48% 0.0740 (0.0524) (0.0039)
2/Apr/12 -2.63% -2.84% (0.0524) (0.0260) 0.0014
1/May/12 -1.08% -1.92% (0.0369) (0.0168) 0.0006
1/Jun/12 1.08% 10.96% (0.0153) 0.1120 (0.0017)

Average 2.61% -0.24%

Variance 0.012477 0.010174 Covariance computation
Standard deviation 0.111701 0.100867 0.0020
0.111701 0.100867 0.001956
0.001956
0.012269 0.010005 0.001989
0.110766 0.100023 0.001989
0.110766 0.100023
Correlation computation
0.176535
0.176535
0.176535
CALCULATING THE MEAN AND STANDARD DEVIATION OF A PORTFOLIO
Proportion of AAPL 0.5
Proportion of GooG 0.5

date AAPL Google Portfolio return Assets returns AAPL

2/Jul/07 7.66% 10.74% 0.092 Mean return 2.61%
1/Aug/07 4.97% -7.47% -0.0125 Variance 0.012477
4/Sep/07 10.28% -1.13% 0.04575 Standard dev 0.111701
1/Oct/07 21.33% -14.03% 0.0365 Covariance 0.001989
1/Nov/07 -4.15% 4.91% 0.0038
Portfolio mean
3/Dec/07 8.35% 10.97% 0.0966 return
2/Jan/08 -38.07% -17.58% -0.27825 0.011831
1/Feb/08 -7.95% 4.37% -0.0179 0.011831
Portfolio return
3/Mar/08 13.79% 2.81% 0.083 variance
1/Apr/08 19.24% 7.55% 0.13395 0.006657
1/May/08 8.17% 4.44% 0.06305 0.006657
Portfolio return
2/Jun/08 -11.98% -2.15% -0.07065 standard dev
1/Jul/08 -5.20% -1.07% -0.03135 0.081592
1/Aug/08 6.44% -6.66% -0.0011 0.081592
2/Sep/08 -39.98% 9.93% -0.15025
1/Oct/08 -5.49% -15.46% -0.10475
3/Nov/08 -14.93% -15.56% -0.15245
1/Dec/08 -8.23% 7.45% -0.0039
2/Jan/09 5.45% -8.59% -0.0157
2/Feb/09 -0.91% 8.75% 0.0392
2/Mar/09 16.30% 7.93% 0.12115
1/Apr/09 17.98% 7.58% 0.1278
1/May/09 7.63% -7.37% 0.0013
1/Jun/09 4.76% 0.59% 0.02675
1/Jul/09 13.73% 15.69% 0.1471
3/Aug/09 2.91% -6.15% -0.0162
1/Sep/09 9.70% -8.38% 0.0066
1/Oct/09 1.69% -7.81% -0.0306
2/Nov/09 5.88% -7.14% -0.0063
1/Dec/09 5.27% -4.12% 0.00575
4/Jan/10 -9.28% -4.96% -0.0712
1/Feb/10 6.33% -1.04% 0.02645
1/Mar/10 13.84% -5.23% 0.04305
1/Apr/10 10.53% -12.90% -0.01185
3/May/10 -1.63% -2.94% -0.02285
1/Jun/10 -2.10% 0.16% -0.0097
1/Jul/10 2.25% -9.56% -0.03655
2/Aug/10 -5.66% -4.89% -0.05275
1/Sep/10 15.46% 20.43% 0.17945
1/Oct/10 5.90% 10.84% 0.0837
1/Nov/10 3.32% 14.56% 0.0894
1/Dec/10 3.60% 2.23% 0.02915
3/Jan/11 5.07% 10.54% 0.07805
1/Feb/11 4.01% 10.69% 0.0735
1/Mar/11 -1.34% -1.98% -0.0166
1/Apr/11 0.46% -26.53% -0.13035
2/May/11 -0.66% 6.74% 0.0304
1/Jun/11 -3.56% 18.03% 0.07235
1/Jul/11 15.12% 20.32% 0.1772
1/Aug/11 -1.46% 0.22% -0.0062
1/Sep/11 -0.92% 2.00% 0.0054
3/Oct/11 5.97% -22.02% -0.08025
1/Nov/11 -5.74% -9.62% -0.0768
1/Dec/11 5.79% -1.02% 0.02385
3/Jan/12 11.97% 2.46% 0.07215
1/Feb/12 17.25% -4.86% 0.06195
1/Mar/12 10.01% -5.48% 0.02265
2/Apr/12 -2.63% -2.84% -0.02735
1/May/12 -1.08% -1.92% -0.015
1/Jun/12 1.08% 10.96% 0.0602
GOOG
-0.24%
0.010174
0.100867
CALCULATING THE STANDARD DEVIATION OF PORTFOLIO
Asset returns AAPL GOOG
Mean return 0.02609 -0.002428
Variance 0.012477 0.010174
Standard dev 0.111701 0.100867
Covariance 0.001989

Proportion of AAPL 0.5

Portfolio mean return 0.011831

Portfolio return variance 0.006657
Portfolio return st.dev 0.081592

0.081592 0.011831
-0.5 -0.5
-0.4 -0.4
-0.3 -0.3
-0.2 -0.2
-0.1 -0.1
0 0
0.1 0.1
0.2 0.2
0.3 0.3
0.4 0.4
0.5 0.5
0.6 0.6
0.7 0.7
0.8 0.8
0.9 0.9
1 1
1.1 1.1
1.2 1.2
1.3 1.3
1.4 1.4
1.5 1.5
1.6 1.6