Statistics to value

Financial Assets

Submitted By:
Akash Verma
Abhimanyu Choudhari
Anjum Goyal
Abhishek Gaggar
Arpit Doneria
Anubhav Sharma

1. Basics of Statistics

Measures of central tendency

mean

median

mode

Variation and Shape

range

variation and standard deviation

coefficient of variation

2. Normal Distribution

It is used for continuous distribution

It is the best known distribution

It uses two parameters ie mean and standard

deviation

All normal distribution are symmetric

In financial markets, the returns on securities

have normal distribution

Xyz return
6

-2

-4

-6

-8

xyz
retur

risk-free rate (%) (2)

0.47

risk-free rate (%) (2)

0.46

risk-free rate
(%) (2)

0.45
0.44
0.43
0.42

Linear (riskfree rate (%)

(2))

0.41
0.4
0.39
0.38
1

10

11

12

XYZ return (%) (3)

6

XYZ return
(%) (3)

0
1
-2

-4

-6

-8

10

11

12

2 per. Mov.
Avg. (XYZ
return (%)
(3))

benchmark excess return (%) (4)

8
6
4
2
0
1
-2
-4
-6
-8
-10

10

11

12

benchmark
excess
return (%)
(4)

return 1
6

-1.66

-2

-4

-6

-8
0

8
Z Value

10

12

14

return 2
2
1.5
1

0.46

0.5
0
-0.5
-1
-1.5
-2
0

8
Z Value

10

12

14

return 3
6

-2.12

-2

-4

-6

-8
0

8
Z Value

10

12

14

return 4
8
6
4

-0.3

2
0
-2
-4
-6
-8
-10
0

8
Z Value

10

12

14

month

xyz return (%)1 risk-free rate (%) (2) XYZ return (%) (3) benchmark excess return (%) (4)
1
-1.66
0.46
-2.12
-0.3
2
3.37
0.41
2.96
3.02
3
3.26
0.43
2.83
1.44
4
4.61
0.41
4.2
5.18
5
4.4
0.43
3.97
3.51
6
-1.45
0.42
-1.87
-4.21
7
-6.23
0.44
-6.67
-8.89
8
4.82
0.44
4.38
5.5
9
3.86
0.43
3.43
3.33
10
1.56
0.44
1.12
-1.89
11
4.36
0.42
3.94
3.94
12
3.51
0.44
3.07
1.97

gemotric mean(%)
monthly
annualised
Arithmatic mean(%)
monthly
annualised
standard deviation(%)
monthly
annualised

1.98
26.53

1.55
20.26

0.97
1.22

2.03
24.41

1.6
19.25

1.05
12.6

3.27
11.34

3.28
11.36

4.06
14.08