Date S&P Reynolds Hasbro

Jan-02 -1.70% 6.13% 1.66%

Feb-02 -2.31% 9.87% -13.27%
Mar-02 4.37% -1.37% 10.55%
Apr-02 -5.06% 6.87% 1.01%
May-02 -1.19% 2.17% -4.26%
Jun-02 -7.15% -23.97% -11.37%
Jul-02 -8.23% 1.64% -9.66%
Aug-02 0.64% 7.71% 7.35%
Sep-02 -10.14% -31.48% -15.36%
Oct-02 7.35% 0.57% -8.18%
Nov-02 5.96% -4.81% 25.44%
Dec-02 -5.50% 9.09% -9.91%
Jan-03 -2.46% 0.59% 3.90%
Feb-03 -1.72% -5.78% 0.92%
Mar-03 0.89% -19.17% 14.70%
Apr-03 8.12% -12.68% 15.19%
May-03 6.18% 21.02% 0.06%
Jun-03 1.48% 9.15% 9.24%
Jul-03 2.18% -4.54% 7.78%
Aug-03 2.34% -3.86% -1.86%
Sep-03 -1.06% 15.78% 0.97%
Oct-03 5.89% 21.47% 16.70%
Nov-03 1.51% 14.93% 1.42%
Dec-03 4.39% 5.34% -3.75%
Jan-04 2.20% 1.56% -7.19%
Feb-04 1.40% 4.52% 10.73%
Mar-04 -1.20% -1.99% -0.55%
Apr-04 -2.56% 7.06% -13.15%
May-04 1.24% -13.23% 4.08%
Jun-04 2.00% 20.27% -3.36%
Jul-04 -3.88% 6.45% -4.37%
Aug-04 0.11% 4.93% 1.98%
Sep-04 1.91% -9.88% 1.46%
Oct-04 1.66% 1.21% -5.90%
Nov-04 4.43% 9.83% 7.57%
Dec-04 3.34% 3.93% 1.84%
Jan-05 -2.74% 2.32% 1.14%
Feb-05 2.09% 1.90% 7.76%
Mar-05 -1.86% -1.66% -3.17%
Apr-05 -2.66% -3.25% -7.48%
May-05 3.59% 6.34% 6.66%
Jun-05 0.99% -4.96% 3.02%
Jul-05 4.22% 5.72% 5.53%
Aug-05 -0.78% 0.76% -5.65%
Sep-05 0.93% -1.10% -5.07%
 Oct-05 -2.19% 2.38% -4.12%
Nov-05 3.82% 4.73% 8.39%
Dec-05 0.19% 7.09% -1.18%
Jan-06 3.90% 6.08% 5.05%
Feb-06 -0.36% 4.96% -4.29%
Mar-06 1.76% -0.61% 3.99%
Apr-06 1.15% 3.93% -6.59%
May-06 -3.30% 0.26% -5.94%
Jun-06 -0.19% 4.88% -2.32%
Jul-06 -0.28% 9.96% 3.26%
Aug-06 2.30% 2.65% 8.56%
Sep-06 1.81% -4.76% 12.07%
Oct-06 3.60% 1.92% 13.93%
Nov-06 2.13% 1.71% 3.20%
Dec-06 0.91% 1.91% 1.87%

Mean 0.57% 1.87% 1.18%

Standard Div 3.60% 9.37% 8.12%

0.00587968849
For Geometric Mean (1+% return)
S&P (1+% change) Reynolds (1+% change) Hasbro (1+% change) US treasury Bill return Rate
98.30% 106.13% 101.66% 2002
97.69% 109.87% 86.73% 2003
104.37% 98.63% 110.55% 2004
94.94% 106.87% 101.01% 2005
98.81% 102.17% 95.74% 2006
92.85% 76.03% 88.63%
91.77% 101.64% 90.34% average
100.64% 107.71% 107.35%
89.86% 68.52% 84.64%
107.35% 100.57% 91.82%
105.96% 95.19% 125.44%
94.50% 109.09% 90.09%
97.54% 100.59% 103.90%
98.28% 94.22% 100.92%
100.89% 80.83% 114.70%
108.12% 87.32% 115.19%
106.18% 121.02% 100.06%
101.48% 109.15% 109.24%
102.18% 95.46% 107.78%
102.34% 96.14% 98.14%
98.94% 115.78% 100.97%
105.89% 121.47% 116.70%
101.51% 114.93% 101.42%
104.39% 105.34% 96.25%
102.20% 101.56% 92.81%
101.40% 104.52% 110.73%
98.80% 98.01% 99.45%
97.44% 107.06% 86.85%
101.24% 86.77% 104.08%
102.00% 120.27% 96.64%
96.12% 106.45% 95.63%
100.11% 104.93% 101.98%
101.91% 90.12% 101.46%
101.66% 101.21% 94.10%
104.43% 109.83% 107.57%
103.34% 103.93% 101.84%
97.26% 102.32% 101.14%
102.09% 101.90% 107.76%
98.14% 98.34% 96.83%
97.34% 96.75% 92.52%
103.59% 106.34% 106.66%
100.99% 95.04% 103.02%
104.22% 105.72% 105.53%
99.22% 100.76% 94.35%
100.93% 98.90% 94.93%
 97.81% 102.38% 95.88%
103.82% 104.73% 108.39%
100.19% 107.09% 98.82%
103.90% 106.08% 105.05%
99.64% 104.96% 95.71%
101.76% 99.39% 103.99%
101.15% 103.93% 93.41%
96.70% 100.26% 94.06%
99.81% 104.88% 97.68%
99.72% 109.96% 103.26%
102.30% 102.65% 108.56%
101.81% 95.24% 112.07%
103.60% 101.92% 113.93%
102.13% 101.71% 103.20%
100.91% 101.91% 101.87%
 Portfolio A Portfolio B
US treasury Bill return Rate S&P 99% + Raynolds 1% S&P 99% + Hasbro 1%
1.65 -1.62% -1.67%
1.02 -2.19% -2.42%
1.20 4.32% 4.43%
2.98 -4.94% -4.99%
4.80 -1.16% -1.22%
-7.32% -7.19%
2.33 -8.13% -8.25%
0.71% 0.71%
-10.36% -10.20%
7.29% 7.20%
5.85% 6.16%
-5.35% -5.54%
-2.43% -2.40%
-1.76% -1.70%
0.69% 1.03%
7.91% 8.19%
6.33% 6.12%
1.56% 1.56%
2.11% 2.23%
2.28% 2.30%
-0.89% -1.04%
6.04% 5.99%
1.64% 1.51%
4.40% 4.31%
2.20% 2.11%
1.43% 1.49%
-1.21% -1.19%
-2.46% -2.66%
1.10% 1.27%
2.18% 1.95%
-3.77% -3.88%
0.16% 0.13%
1.79% 1.91%
1.65% 1.58%
4.49% 4.47%
3.35% 3.33%
-2.69% -2.70%
2.08% 2.14%
-1.86% -1.87%
-2.66% -2.71%
3.62% 3.62%
0.93% 1.01%
4.24% 4.24%
-0.76% -0.82%
0.91% 0.87%
-2.14% -2.21%
3.82% 3.86%
0.26% 0.18%
3.92% 3.91%
-0.30% -0.40%
1.74% 1.78%
1.18% 1.07%
-3.27% -3.33%
-0.14% -0.21%
-0.18% -0.25%
2.31% 2.36%
1.75% 1.92%
3.59% 3.71%
2.13% 2.15%
0.92% 0.92%

0.59% 0.58%

3.59% 3.62%
Date S&P Reynolds Hasbro
Jan-02 -1.70% 6.13% 1.66%
Feb-02 -2.31% 9.87% -13.27% SUMMARY OUTPUT
Mar-02 4.37% -1.37% 10.55%
Apr-02 -5.06% 6.87% 1.01% Regression Statistics
May-02 -1.19% 2.17% -4.26% Multiple R
Jun-02 -7.15% -23.97% -11.37% R Square
Jul-02 -8.23% 1.64% -9.66% Adjusted R Square
Aug-02 0.64% 7.71% 7.35% Standard Error
Sep-02 -10.14% -31.48% -15.36% Observations
Oct-02 7.35% 0.57% -8.18%
Nov-02 5.96% -4.81% 25.44% ANOVA
Dec-02 -5.50% 9.09% -9.91%
Jan-03 -2.46% 0.59% 3.90% Regression
Feb-03 -1.72% -5.78% 0.92% Residual
Mar-03 0.89% -19.17% 14.70% Total
Apr-03 8.12% -12.68% 15.19%
May-03 6.18% 21.02% 0.06% Coefficients
Jun-03 1.48% 9.15% 9.24% Intercept
Jul-03 2.18% -4.54% 7.78% S&P
Aug-03 2.34% -3.86% -1.86%
Sep-03 -1.06% 15.78% 0.97%
Oct-03 5.89% 21.47% 16.70%
Nov-03 1.51% 14.93% 1.42%
Dec-03 4.39% 5.34% -3.75%
Jan-04 2.20% 1.56% -7.19%
Feb-04 1.40% 4.52% 10.73%
Mar-04 -1.20% -1.99% -0.55% R
Apr-04 -2.56% 7.06% -13.15%
May-04 1.24% -13.23% 4.08%
Jun-04 2.00% 20.27% -3.36%
Jul-04 -3.88% 6.45% -4.37%
Aug-04 0.11% 4.93% 1.98%
Sep-04 1.91% -9.88% 1.46%
Oct-04 1.66% 1.21% -5.90%
Nov-04 4.43% 9.83% 7.57%
Dec-04 3.34% 3.93% 1.84% -15.00% -10.00% -5.00
Jan-05 -2.74% 2.32% 1.14%
Feb-05 2.09% 1.90% 7.76%
Mar-05 -1.86% -1.66% -3.17%
Apr-05 -2.66% -3.25% -7.48%
May-05 3.59% 6.34% 6.66%
Jun-05 0.99% -4.96% 3.02%
Jul-05 4.22% 5.72% 5.53%
Aug-05 -0.78% 0.76% -5.65%
Sep-05 0.93% -1.10% -5.07%
Oct-05 -2.19% 2.38% -4.12%
Nov-05 3.82% 4.73% 8.39%
Dec-05 0.19% 7.09% -1.18%
Jan-06 3.90% 6.08% 5.05%
Feb-06 -0.36% 4.96% -4.29%
Mar-06 1.76% -0.61% 3.99%
Apr-06 1.15% 3.93% -6.59%
May-06 -3.30% 0.26% -5.94%
Jun-06 -0.19% 4.88% -2.32%
Jul-06 -0.28% 9.96% 3.26%
Aug-06 2.30% 2.65% 8.56%
Sep-06 1.81% -4.76% 12.07%
Oct-06 3.60% 1.92% 13.93%
Nov-06 2.13% 1.71% 3.20%
Dec-06 0.91% 1.91% 1.87%
ression Statistics
0.282916
0.080041
0.06418
0.090609
60

df SS MS F Significance F
1 0.04143 0.04143 5.046317 0.028501
58 0.47618 0.00821
59 0.51761

Coefficients
Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
0.014519 0.011848 1.225383 0.225384 -0.009198 0.038235 -0.009198 0.038235
0.735657 0.327483 2.246401 0.028501 0.08013 1.391185 0.08013 1.391185

Reynolds
30.00%

20.00%

10.00%

0.00%
-10.00% -5.00% 0.00% 5.00% 10.00%

-10.00%

-20.00%

-30.00%

-40.00%
Date S&P Reynolds Hasbro
Jan-02 -1.70% 6.13% 1.66%
Feb-02 -2.31% 9.87% -13.27% SUMMARY OUTPUT
Mar-02 4.37% -1.37% 10.55%
Apr-02 -5.06% 6.87% 1.01% Regression Statistics
May-02 -1.19% 2.17% -4.26% Multiple R
Jun-02 -7.15% -23.97% -11.37% R Square
Jul-02 -8.23% 1.64% -9.66% Adjusted R Square
Aug-02 0.64% 7.71% 7.35% Standard Error
Sep-02 -10.14% -31.48% -15.36% Observations
Oct-02 7.35% 0.57% -8.18%
Nov-02 5.96% -4.81% 25.44% ANOVA
Dec-02 -5.50% 9.09% -9.91%
Jan-03 -2.46% 0.59% 3.90% Regression
Feb-03 -1.72% -5.78% 0.92% Residual
Mar-03 0.89% -19.17% 14.70% Total
Apr-03 8.12% -12.68% 15.19%
May-03 6.18% 21.02% 0.06%
Jun-03 1.48% 9.15% 9.24% Intercept
Jul-03 2.18% -4.54% 7.78% S&P
Aug-03 2.34% -3.86% -1.86%
Sep-03 -1.06% 15.78% 0.97%
Oct-03 5.89% 21.47% 16.70%
Nov-03 1.51% 14.93% 1.42%
Dec-03 4.39% 5.34% -3.75%
Jan-04 2.20% 1.56% -7.19%
Feb-04 1.40% 4.52% 10.73%
Mar-04 -1.20% -1.99% -0.55%
Apr-04 -2.56% 7.06% -13.15%
May-04 1.24% -13.23% 4.08%
Jun-04 2.00% 20.27% -3.36%
Jul-04 -3.88% 6.45% -4.37%
Aug-04 0.11% 4.93% 1.98%
Sep-04 1.91% -9.88% 1.46%
Oct-04 1.66% 1.21% -5.90%
Nov-04 4.43% 9.83% 7.57%
Dec-04 3.34% 3.93% 1.84%
Jan-05 -2.74% 2.32% 1.14%
Feb-05 2.09% 1.90% 7.76%
Mar-05 -1.86% -1.66% -3.17%
Apr-05 -2.66% -3.25% -7.48%
May-05 3.59% 6.34% 6.66%
Jun-05 0.99% -4.96% 3.02%
Jul-05 4.22% 5.72% 5.53%
Aug-05 -0.78% 0.76% -5.65%
Sep-05 0.93% -1.10% -5.07%
Oct-05 -2.19% 2.38% -4.12%
Nov-05 3.82% 4.73% 8.39%
Dec-05 0.19% 7.09% -1.18%
Jan-06 3.90% 6.08% 5.05%
Feb-06 -0.36% 4.96% -4.29%
Mar-06 1.76% -0.61% 3.99%
Apr-06 1.15% 3.93% -6.59%
May-06 -3.30% 0.26% -5.94%
Jun-06 -0.19% 4.88% -2.32%
Jul-06 -0.28% 9.96% 3.26%
Aug-06 2.30% 2.65% 8.56%
Sep-06 1.81% -4.76% 12.07%
Oct-06 3.60% 1.92% 13.93%
Nov-06 2.13% 1.71% 3.20%
Dec-06 0.91% 1.91% 1.87%
MARY OUTPUT

Regression Statistics
0.629964912834309
0.396855791402339
0.386456753323069
0.063570518035474
60

df SS MS F Significance F
1 0.154223677562018 0.154224 38.16274 6.932E-08
58 0.234390224271315 0.004041
59 0.388613901833333

Coefficients Standard Error t Stat P-value Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
0.003677441148648 0.008312561256117 0.442396 0.659848 -0.012962 0.020317 -0.012962 0.020317
1.41935911191036 0.229758989869528 6.1776 6.932E-08 0.959447 1.879272 0.959447 1.879272
Upper 95.0%
Case Q1
S&P Reynolds Hasbro

Mean - (monthly return) 0.57% 1.87% 1.18%

Mean - (annualized return) 6.90% 22.50% 14.21%
Geomatric Mean 0.51% 1.42% 0.87%
Standard Dev 3.60% 9.37% 8.12%
Anualised Standard Dev. 12.48% 32.45% 28.11%

Risk Free Rate (2002 - 2006) 2.33

Sharpe Ratio 36.62% 62.16% 42.24%

(Return - risk free rate) / Std. Dev.)

Explanation Among the three stocks, volatility Reynolds is highest and thus
riskiest. As usual it also entails greater return of 1.87%. Whereas
S&P shows the lowest return and low volatility. Hasbro has the
median Risk and Return among the options

Case Q2

Anualised Standard Dev. 12.48% 32.45% 28.11%

Mean - (annualized return) 6.90% 22.50% 14.21%

Correlation of S&P and Reynolds 0.2829 => low correlation means Raynolds has very high own risk but very
Correlation of S&P and Hasbro 0.6300

Weightage of S&P and Reynolds 0.99 0.01

Variance Std Div annual Std Dev

Variance of the Portfolio A 0.00129 3.59% 12.45%
[ S&P 99% and Reynolds 1%]

Variance of the Portfolio B 0.00131 3.62% 12.53%

[ S&P 99% and Hasbro 1%]

Explanation Adding Hasbro to the portfolio slightly increases the Stardard Deviation and the risks.
because Hasbro is pretty strongly corelated (0.63) with S&P 500.

Case Q3
Reynolds Hasbro
Beta (using slope function) 0.73566 1.41936
Beta (using regression) 0.73566 1.41936

Explanation : In general, higher beta signifies higer risks. Here Beta co-efficient for Rreynolds is .073
and for Hasbro is 1.41936. Thus Hasbro is relatively much riskier than Reynolds.

Case Q4

Explanation : I think form economic point of view it makes sense. Reynolds represents tobacco pro
and using of products doesn't depend on market. However, people will not be buying
so frequently during a pandemic. Because of this, when we add Reynolds to our portf
shows lower beta and minimized the risks. Basically it's idosyncratic risk that can be
mitigated through diversification. On the other hand, Hasbro shows systematic risks.
very high own risk but very low systematic risk

Avg Return
0.59%

0.58%

ard Deviation and the risks. It is

P 500.
 fficient for Rreynolds is .073566
riskier than Reynolds.

olds represents tobacco products

r, people will not be buying toys
we add Reynolds to our portfolio, It
osyncratic risk that can be
bro shows systematic risks.