Due date: End of class 12.
Global Equity Markets
D.1 Hand in a table showing your daily gains
and losses for each different stock position
and the stock portfolio
as a whole. You should assume that you liquidated all positions
on the last trading day
at the closing prices for that day. On the cover page write the
"bottom line"
total gains or losses on your stock portfolio. Also hand in a table itemizing
each transaction. Please
include the side (i.e., buy or sell), security name, date, price,
price type (e.g., last
trade, mid or close), and the number of shares. Also include the
daily and cumulative performance
of the MSCI World Index benchmark.
D.2 Roughly annualize the return of your
portfolio and the benchmark. For example, if
you were in the market
for 40 days then you would take your total return for this
period and multiply it
by 365/40.
D.3 Roughly annualize the volatility (i.e.,
standard deviation) of your portfolio and the
benchmark. Estimate the
annual volatility by calculating the daily standard deviation
of returns for your portfolio
and the benchmark and then multiplying the daily standard
deviation of returns for each
by 3650.5.
D.4 Graph the mean return (y-axis) and daily
volatility (x-axis) of your portfolio and the
benchmark. There should
be only two points on the graph. You should use the XY
graph type in excel for this
question.
Global Futures Markets
D.5 On the above date, you should hand in
a day-by-day table of your gains and losses
for each different futures
position and for the DJIA, using a form similar to the sample
spreadsheet and in the
lecture note.
D.6 Roughly annualize the return of your
futures portfolio and the benchmark. Also roughly
annualize the return of
your stock plus futures portfolio. To perform this calculation you
will have to know the mean
return of the combined stock and futures positions.
D.7 Roughly annualize the volatility (i.e.,
standard deviation) of your futures portfolio. Also,
roughly annualize the volatility
of your combined stock and futures positions.
D.8 Graph the mean return (y-axis) and daily
volatility (x-axis) of your stock portfolio,
futures portfolio, stock
and futures portfolio, and the benchmark. There should be
four points on the graph.
You should use the XY graph type in excel for this question.
Global Options Markets
D.9 You must hand in a day-by-day table
of your gains and losses for each different
option and stock position.
D.10 Roughly annualize the return of your
options portfolio. Also roughly annualize the
return of your
stock plus options portfolio. To perform this calculation you will
have to know
the mean return of the combined stock and options positions.
D.11 Roughly annualize the volatility (i.e.,
standard deviation) of your options portfolio.
Also, roughly analyze
the volatility of your combined stock and options portfolios.
D.12 Graph the mean return (y-axis) and
daily volatility (x-axis) of your stock portfolio,
futures
portfolio, options portfolio, stock and futures portfolio, stock and options
portfolio,
stock and futures and options portfolio, and the benchmark. There should
be seven
points on the graph. You should use the XY graph type in excel for this
question.
D.13 Graph the day-to-day value of your
overall portfolio (stock plus options plus futures)
with US $ value
on the y axis. Include a second data series on the graph showing the
day-by-day
value of US $1,500,000 invested in the MSCI World Index benchmark.