equities代写 Depict the price movements of the five equities on one single chart, create a chart on the returns. Explain what we can see.
a. Depict the price movements of the five equities on one single chart, create a chart on the returns. Explain what we can see.
Sol: step 1, unify the data into US dollar unit;equities代写
step 2, plot the new price data on one chart., then we get the pic below.
Step 3, pay attention to Richter Gedeon on 2013-7-11, the price collapsed from 35800 to 3570. remove this unusual point at first. Then plot the log return series of five equities.
Findings: 1) Bank of Japan suffered a sharp fall in price since 2013-05.
2) Apple Computer Inc ‘s return series has the lowest volatility.
3) Richter Gedeon has occurred collapse in 2013-07.
b. Assuming that these prices follow log-normal distribution, define the parameters of the five distributions.
Sol: using log-return series, we calculate daily mean and standard deviation.
Then we get the parameter =252*daily return and *daily volatility ,
|Volkswagen||Apple Computer Inc||Ford Motor Co||Bank Of Japan||Richter Gedeon|
Question B equities代写
Main idea: using linear interpolation to get the corresponding yearly rate.
For a. time to maturity: 8/12 Year
on 2013-12-6, USDGovt; 12M yearly rate = 0.1443%
USDGovt; 1M yearly rate = 0.0371%
The corresponding yearly rate is 0.1053%.
For b, time to maturity: 9.5 Years
on 2013-12-6, HUFGovt; 108M yearly rate = 5.9005%
HUFGovt; 120M yearly rate = 6.1466% equities代写
The corresponding yearly rate is 6.0235%.
For c, time to maturity: 5 years, yearly rate of USDGovt, 60M is 1.5122%.
For d, time to maturity: 5 years, yearly rate of PLNSwap,60M is 3.8476%.
For e, considering EUR Government Bond, with time to maturity 30 years.
yearly rate of EURGovt, 360M is 2.8173%.
Aggregate the data, and use Finance Calculator to calculate the current price of these five Bonds. (detail can be found in Sheet-QB)
|Start date||End date||Type||currency||Bond Price (PV)|
|a||2013-8-6||2014-8-6||US Treasury Bill||USD||99.9299|
|b||2013-6-6||2023-6-6||Hungarian Fixed Coupon Bond||HUF||103.3724|
|c||2013-12-6||2018-12-6||Hungarian Fixed Coupon Bond||USD||120.2607|
|d||2013-12-6||2018-12-6||Polish Floating Coupon Bond||PLN||100.0000|
|e||2013-12-6||2043-12-6||EUR Government Bond||EUR||52.2507|
The expected return and volatility are listed below,equities代写
|current time: 2013-12-6|
|a||US Treasury Bill||0.0022||0.0170|
|b||Hungarian Fixed Coupon Bond||0.0746||0.1545|
|c||Hungarian Fixed Coupon Bond||0.0136||0.0960|
|d||Polish Floating Coupon Bond||0.0464||0.1268|
|e||EUR Government Bond||0.0298||0.0955|
Question C equities代写
- a. minimize risk
sol: we can find that five bonds have low volatility, if we want to minimize risk, we can only hold US Treasury Bill.
- b. Maximize expected return
sol: Apple Computer Inc has the highest expected return, then we can only hold Apple Computer Inc.
- c. minimize 1-year-VaR(99%)
sol: we calculate the Value at risk of ten securities, result listed below
|Apple Computer Inc||26.07|
|Ford Motor Co||7.74|
|Bank Of Japan||298.40|
We can hold US Treasury Bill and Ford Motor Co, these two securities have low VaR(99%).
hold from 2013-12-6 to 2014-3-6.
Back test C-a, US Treasury Bill Price will = 100/(1+0.05388%)^0.25 = 99.9865
Return rate = 99.9865/99.9299-1=0.0567%;equities代写
Back test C-b, Apple Computer Inc’s return rate = 75.82/80-1=-0.0523;
Back test C-c, Ford Monto Co’s return rate = 15.67/16.7-1=-0.0617
When equal-weighted, the portfolio’s total return is 1/2*(0.0567%-0.0617)=-0.0306
We can find that bonds will outperform equities during the holding period.