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  • 2 - Stocks - Calculations - Correlations - Inclass

    Загружено:

    Kunal Deore
    9 просмотров2 страницы
    This document shows the steps to calculate covariance between two stocks by hand from their daily returns over multiple periods. It includes the daily returns for each stock, the deviations from the mean return for each, the product of the deviations, and the calculations for covariance, variance, standard deviation, and correlation for each period. The covariance, variance, standard deviation, and correlation are calculated separately for each period and reported.

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    2. 2_stocks_calculations_correlations_inclass

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    This document shows the steps to calculate covariance between two stocks by hand from their daily returns over multiple periods. It includes the daily returns for each stock, the deviations from the mean return for each, the product of the deviations, and the calculations for covariance, variance, standard deviation, and correlation for each period. The covariance, variance, standard deviation, and correlation are calculated separately for each period and reported.

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    © All Rights Reserved
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    Отметить как неприемлемый контент
    9 просмотров2 страницы

    2 - Stocks - Calculations - Correlations - Inclass

    Загружено:

    Kunal Deore
    This document shows the steps to calculate covariance between two stocks by hand from their daily returns over multiple periods. It includes the daily returns for each stock, the deviations from the mean return for each, the product of the deviations, and the calculations for covariance, variance, standard deviation, and correlation for each period. The covariance, variance, standard deviation, and correlation are calculated separately for each period and reported.

    Авторское право:

    © All Rights Reserved
    Скачайте в формате XLSX, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    из 2

    Returns Covariance by hand

    Date stock A stock B Deviations Product


    1 1.00% 7.00% -1.67% 0.33% -0.000056
    2 4.00% 7.00% 1.33% 0.33% 0.000044
    3 3.00% 6.00% 0.33% -0.67% -0.000022
    Mean 2.67% 6.67%
    Var 0.00023 0.00003 covar -0.000017
    Stdev 1.53% 0.58% correlation -0.19
    Covar -0.000017
    Correlation -0.19
    Returns Covariance by hand
    Date stock A stock B Deviations Product
    1 3.00% 5.00% 2.00% 3.00% 0.000600
    2 2.00% 3.00% 1.00% 1.00% 0.000100
    3 1.00% 4.00% 0.00% 2.00% 0.000000
    4 0.00% -2.00% -1.00% -4.00% 0.000400
    5 -1.00% 0.00% -2.00% -2.00% 0.000400 0.001500
    Mean 1.00% 2.00%
    Var 0.00025 0.00085 covar 0.000750
    Stdev 1.58% 2.92% correlation 1.63
    Covar 0.000375
    Correlatio 0.81

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