Date Open High Low Close Volume Adj Close Return Hasbro Return+ Reynolds Return

1/2/2002 $ 16.25 $ 17.30 $ 15.66 $ 16.50 965900 $ 14.56

2/4/2002 $ 16.42 $ 16.48 $ 12.84 $ 14.31 1875600 $ 12.62 -0.1332 -0.017105
3/1/2002 $ 14.90 $ 16.13 $ 14.21 $ 15.82 907600 $ 13.96 0.1062 0.052601
4/1/2002 $ 15.76 $ 16.98 $ 15.08 $ 15.98 556900 $ 14.12 0.0115 0.040289
5/1/2002 $ 15.88 $ 16.65 $ 14.70 $ 15.30 784800 $ 13.52 -0.0425 -0.010472
6/3/2002 $ 15.22 $ 15.41 $ 13.30 $ 13.56 827100 $ 11.99 -0.1132 -0.171035
7/1/2002 $ 13.61 $ 13.92 $ 10.75 $ 12.25 767900 $ 10.85 -0.0951 -0.039391
8/1/2002 $ 12.25 $ 13.79 $ 11.60 $ 13.15 669800 $ 11.65 0.0737 0.075526
9/3/2002 $ 12.95 $ 13.24 $ 10.70 $ 11.13 962000 $ 9.86 -0.1536 -0.228605
10/1/2002 $ 11.35 $ 11.40 $ 9.87 $ 10.22 1133100 $ 9.08 -0.0791 -0.0365
11/1/2002 $ 10.22 $ 13.19 $ 10.11 $ 12.82 938300 $ 11.39 0.2544 0.102923
12/2/2002 $ 13.25 $ 13.48 $ 11.01 $ 11.55 782700 $ 10.26 -0.0992 0.00821
1/2/2003 $ 11.60 $ 12.13 $ 11.42 $ 12.00 714300 $ 10.69 0.0419 0.024172
2/3/2003 $ 12.15 $ 12.37 $ 11.23 $ 12.11 983400 $ 10.79 0.0094 -0.024442
3/3/2003 $ 12.18 $ 14.60 $ 11.71 $ 13.89 1099300 $ 12.37 0.1464 -0.012757
4/1/2003 $ 13.79 $ 16.20 $ 13.66 $ 16.00 1514200 $ 14.28 0.1544 0.013906
5/1/2003 $ 15.92 $ 16.61 $ 15.15 $ 16.01 1067700 $ 14.29 0.0007 0.105668
6/2/2003 $ 16.01 $ 18.05 $ 15.90 $ 17.49 891300 $ 15.61 0.0924 0.106048
7/1/2003 $ 17.49 $ 19.25 $ 17.26 $ 18.85 1024600 $ 16.85 0.0794 0.017026
8/1/2003 $ 18.75 $ 19.37 $ 18.10 $ 18.50 774300 $ 16.54 -0.0184 -0.028538
9/2/2003 $ 18.52 $ 19.22 $ 18.21 $ 18.68 807600 $ 16.70 0.0097 0.099975
10/1/2003 $ 18.72 $ 22.30 $ 18.71 $ 21.80 1340800 $ 19.52 0.1689 0.191473
11/3/2003 $ 21.85 $ 22.63 $ 20.88 $ 22.11 783200 $ 19.79 0.0138 0.081742
12/1/2003 $ 22.11 $ 22.29 $ 19.52 $ 21.28 1277800 $ 19.05 -0.0374 0.016622
1/2/2004 $ 21.48 $ 22.03 $ 19.64 $ 19.75 962000 $ 17.71 -0.0703 -0.027395
2/2/2004 $ 19.75 $ 22.11 $ 19.38 $ 21.87 1234000 $ 19.61 0.1073 0.076148
3/1/2004 $ 21.84 $ 22.98 $ 21.05 $ 21.75 1010200 $ 19.50 -0.0056 -0.005025
4/1/2004 $ 21.70 $ 23.33 $ 18.89 $ 18.89 1288700 $ 16.99 -0.1287 -0.0289
5/3/2004 $ 18.97 $ 19.87 $ 17.15 $ 19.66 1284400 $ 17.68 0.0406 -0.045916
6/1/2004 $ 19.68 $ 19.70 $ 18.54 $ 19.00 952200 $ 17.09 -0.0334 0.094452
7/1/2004 $ 18.87 $ 19.00 $ 17.40 $ 18.17 1257300 $ 16.39 -0.0410 0.011728
8/2/2004 $ 18.18 $ 18.59 $ 16.98 $ 18.53 1044600 $ 16.72 0.0201 0.03479
9/1/2004 $ 18.54 $ 19.16 $ 17.81 $ 18.80 698700 $ 16.96 0.0144 -0.036424
10/1/2004 $ 18.84 $ 19.40 $ 16.90 $ 17.69 1223500 $ 16.02 -0.0554 -0.021742
11/1/2004 $ 17.72 $ 19.25 $ 17.59 $ 19.03 688600 $ 17.23 0.0755 0.086871
12/1/2004 $ 19.02 $ 19.76 $ 17.72 $ 19.38 749600 $ 17.55 0.0186 0.035456
1/3/2005 $ 19.39 $ 19.72 $ 18.11 $ 19.60 980800 $ 17.80 0.0142 0.018651
2/1/2005 $ 19.60 $ 21.24 $ 19.40 $ 21.12 1163200 $ 19.18 0.0775 0.048423
3/1/2005 $ 21.02 $ 21.50 $ 20.20 $ 20.45 1099500 $ 18.57 -0.0318 -0.018745
4/1/2005 $ 20.55 $ 20.81 $ 18.40 $ 18.92 1185100 $ 17.27 -0.0700 -0.051203
5/2/2005 $ 18.92 $ 20.99 $ 18.77 $ 20.18 741000 $ 18.42 0.0666 0.064976
6/1/2005 $ 20.16 $ 20.96 $ 19.83 $ 20.79 592900 $ 18.97 0.0299 -0.004367
7/1/2005 $ 20.77 $ 22.35 $ 20.63 $ 21.94 960900 $ 20.11 0.0601 0.058628
8/1/2005 $ 21.96 $ 22.09 $ 19.97 $ 20.70 707700 $ 18.97 -0.0567 -0.024547
 9/1/2005 $ 20.60 $ 22.10 $ 18.99 $ 19.65 1136800 $ 18.01 -0.0506 -0.024549
10/3/2005 $ 19.72 $ 20.03 $ 17.75 $ 18.84 1066000 $ 17.35 -0.0366 -0.006433
11/1/2005 $ 18.86 $ 20.73 $ 18.81 $ 20.42 666600 $ 18.80 0.0836 0.065456
12/1/2005 $ 20.40 $ 20.76 $ 20.01 $ 20.18 634000 $ 18.58 -0.0117 0.036822
1/3/2006 $ 20.13 $ 21.88 $ 19.52 $ 21.20 989500 $ 19.60 0.0549 0.057842
2/1/2006 $ 21.21 $ 21.90 $ 20.00 $ 20.29 1749700 $ 18.76 -0.0429 0.003443
3/1/2006 $ 20.48 $ 21.25 $ 20.43 $ 21.10 1016300 $ 19.51 0.0400 0.022893
4/3/2006 $ 21.17 $ 21.27 $ 19.63 $ 19.71 989300 $ 18.34 -0.0600 -0.010354
5/1/2006 $ 19.80 $ 20.15 $ 18.47 $ 18.54 1545500 $ 17.25 -0.0594 -0.028383
6/1/2006 $ 18.59 $ 18.88 $ 17.90 $ 18.11 1762200 $ 16.85 -0.0232 0.018991
7/3/2006 $ 18.11 $ 19.45 $ 17.00 $ 18.70 1466900 $ 17.40 0.0326 0.066028
8/1/2006 $ 18.67 $ 20.34 $ 18.35 $ 20.30 1186300 $ 18.88 0.0851 0.055827
9/1/2006 $ 20.35 $ 22.75 $ 20.09 $ 22.75 1368700 $ 21.16 0.1208 0.042062
10/2/2006 $ 22.75 $ 25.96 $ 22.41 $ 25.92 2275100 $ 24.23 0.1451 0.082147
11/1/2006 $ 25.92 $ 27.50 $ 25.89 $ 26.75 2619300 $ 25.00 0.0318 0.024465
12/1/2006 $ 26.87 $ 27.69 $ 26.14 $ 27.25 1738200 $ 25.47 0.0188 0.024872
1/3/2007 $ 27.30 $ 27.83 $ 27.20 $ 27.49 4521600 $ 25.70 0.0090 0.003616
eturn+ Reynolds Return

1. Calculate the average monthly % returns and standard deviation of monthly % returns for each return series
MonthlyAnnual
Mean D 0.0127 0.152022
Std Dev D 0.081051 0.280767

VaR (5%) -0.120648 -0.309799

VaR (95%) 0.145985 0.613843

Question 2. .5 Hasbro and .5 Reynolds Portfolio

Hasbro Monthly
Mean D 0.0178
Std Dev D 0.063542
h return series
Date Open High Low Close Volume Adj Close Return
1/2/2002 $ 56.35 $ 60.40 $ 56.02 $ 59.75 1093500 $ 18.58
2/4/2002 $ 59.15 $ 66.99 $ 58.50 $ 65.65 1109300 $ 20.42 0.0990
3/1/2002 $ 65.79 $ 67.15 $ 63.60 $ 64.75 800200 $ 20.40 -0.0010
4/1/2002 $ 65.35 $ 70.10 $ 63.56 $ 69.20 884300 $ 21.81 0.0691
5/1/2002 $ 69.45 $ 71.90 $ 66.69 $ 70.70 851400 $ 22.28 0.0215
6/3/2002 $ 71.30 $ 71.30 $ 50.38 $ 53.75 2110700 $ 17.18 -0.2289
7/1/2002 $ 54.40 $ 56.75 $ 49.35 $ 54.63 1503600 $ 17.46 0.0163
8/1/2002 $ 54.51 $ 60.09 $ 53.00 $ 58.84 1109700 $ 18.81 0.0773
9/3/2002 $ 59.35 $ 60.40 $ 39.20 $ 40.32 5221000 $ 13.10 -0.3036
10/1/2002 $ 40.32 $ 44.09 $ 34.83 $ 40.55 1972600 $ 13.18 0.0061
11/1/2002 $ 40.25 $ 44.60 $ 37.56 $ 38.60 1933200 $ 12.54 -0.0486
12/2/2002 $ 39.20 $ 43.46 $ 38.24 $ 42.11 1797400 $ 13.99 0.1156
1/2/2003 $ 42.20 $ 47.32 $ 39.20 $ 42.36 2403700 $ 14.08 0.0064
2/3/2003 $ 42.39 $ 43.07 $ 38.43 $ 39.91 1288200 $ 13.26 -0.0582
3/3/2003 $ 40.16 $ 40.88 $ 31.13 $ 32.26 2862200 $ 10.98 -0.1719
4/1/2003 $ 32.27 $ 35.17 $ 27.60 $ 28.17 3411800 $ 9.59 -0.1266
5/1/2003 $ 27.90 $ 35.12 $ 27.52 $ 34.09 4559000 $ 11.61 0.2106
6/2/2003 $ 34.54 $ 38.77 $ 34.33 $ 37.21 3383000 $ 13.00 0.1197
7/1/2003 $ 37.00 $ 38.35 $ 34.75 $ 35.52 2480500 $ 12.41 -0.0454
8/1/2003 $ 36.02 $ 36.04 $ 31.10 $ 34.15 2473800 $ 11.93 -0.0387
9/2/2003 $ 35.90 $ 40.54 $ 33.25 $ 39.54 3911000 $ 14.20 0.1903
10/1/2003 $ 40.00 $ 51.73 $ 39.80 $ 48.03 2909900 $ 17.24 0.2141
11/3/2003 $ 48.04 $ 55.35 $ 47.70 $ 55.20 1459800 $ 19.82 0.1497
12/1/2003 $ 55.25 $ 60.14 $ 55.00 $ 58.15 1850400 $ 21.22 0.0706
1/2/2004 $ 58.15 $ 60.40 $ 56.35 $ 59.06 1573700 $ 21.55 0.0156
2/2/2004 $ 59.07 $ 63.16 $ 58.70 $ 61.73 1279600 $ 22.52 0.0450
3/1/2004 $ 61.93 $ 63.46 $ 57.18 $ 60.50 1738900 $ 22.42 -0.0044
4/1/2004 $ 60.62 $ 65.85 $ 57.76 $ 64.77 2270600 $ 24.01 0.0709
5/3/2004 $ 64.77 $ 65.65 $ 53.37 $ 56.20 3411000 $ 20.83 -0.1324
6/1/2004 $ 56.53 $ 70.50 $ 56.20 $ 67.59 4669700 $ 25.46 0.2223
7/1/2004 $ 67.60 $ 73.66 $ 64.80 $ 71.95 3536100 $ 27.10 0.0644
8/2/2004 $ 71.97 $ 75.51 $ 69.36 $ 75.50 2219800 $ 28.44 0.0494
9/1/2004 $ 75.38 $ 76.19 $ 65.62 $ 68.04 2386900 $ 25.96 -0.0872
10/1/2004 $ 68.35 $ 70.75 $ 66.36 $ 68.86 1569100 $ 26.27 0.0119
11/1/2004 $ 68.86 $ 78.78 $ 68.82 $ 75.63 2830900 $ 28.85 0.0982
12/1/2004 $ 75.65 $ 80.54 $ 73.85 $ 78.60 1829000 $ 30.36 0.0523
1/3/2005 $ 78.95 $ 81.61 $ 76.85 $ 80.42 1753600 $ 31.06 0.0231
2/1/2005 $ 80.40 $ 89.00 $ 79.44 $ 81.95 2091900 $ 31.66 0.0193
3/1/2005 $ 82.25 $ 85.25 $ 77.40 $ 80.59 1815700 $ 31.48 -0.0057
4/1/2005 $ 80.84 $ 81.22 $ 76.48 $ 77.97 1504300 $ 30.46 -0.0324
5/2/2005 $ 77.92 $ 83.40 $ 77.71 $ 82.91 1416400 $ 32.39 0.0634
6/1/2005 $ 83.20 $ 85.15 $ 77.71 $ 78.80 1278300 $ 31.14 -0.0386
7/1/2005 $ 78.88 $ 84.61 $ 76.58 $ 83.31 969500 $ 32.92 0.0572
8/1/2005 $ 83.90 $ 85.74 $ 81.65 $ 83.94 1052000 $ 33.17 0.0076
 9/1/2005 $ 84.35 $ 84.86 $ 78.25 $ 83.02 1794400 $ 33.22 0.0015
10/3/2005 $ 82.50 $ 85.34 $ 77.75 $ 85.00 1417400 $ 34.01 0.0238
11/1/2005 $ 85.00 $ 89.93 $ 84.62 $ 89.02 1196300 $ 35.62 0.0473
12/1/2005 $ 89.75 $ 102.38 $ 89.50 $ 95.33 1642400 $ 38.66 0.0853
1/3/2006 $ 95.33 $ 104.25 $ 94.96 $ 101.13 1087500 $ 41.01 0.0608
2/1/2006 $ 101.30 $ 107.15 $ 98.44 $ 106.15 1574500 $ 43.05 0.0497
3/1/2006 $ 105.90 $ 109.93 $ 103.60 $ 105.50 1432200 $ 43.30 0.0058
4/3/2006 $ 106.25 $ 112.65 $ 103.63 $ 109.65 1444500 $ 45.00 0.0393
5/1/2006 $ 109.40 $ 115.60 $ 108.14 $ 109.94 1214000 $ 45.12 0.0027
6/1/2006 $ 110.38 $ 116.11 $ 106.40 $ 115.30 1266600 $ 47.88 0.0612
7/3/2006 $ 114.80 $ 130.00 $ 113.56 $ 126.78 1795300 $ 52.64 0.0994
8/1/2006 $ 126.78 $ 129.10 $ 63.46 $ 65.07 1351200 $ 54.04 0.0266
9/1/2006 $ 64.87 $ 66.26 $ 59.30 $ 61.97 1727200 $ 52.06 -0.0366
10/2/2006 $ 61.97 $ 67.09 $ 60.87 $ 63.16 1608000 $ 53.06 0.0192
11/1/2006 $ 63.47 $ 66.08 $ 63.08 $ 64.24 1320100 $ 53.97 0.0172
12/1/2006 $ 64.59 $ 66.34 $ 63.56 $ 65.47 980100 $ 55.64 0.0309
1/3/2007 $ 65.37 $ 66.05 $ 64.99 $ 65.35 2086400 $ 55.54 -0.0018
 Monthly
Mean D 0.0229
Std Dev D 0.093674

VaR (5%)
VaR (95%)
Date Open High Low Close Volume Adj Close Return
1/2/2002 1148.08 1176.97 1081.66 1130.20 1490628500 1130.20
2/1/2002 1130.20 1130.20 1074.36 1106.73 1444200000 1106.73 -0.0208
3/1/2002 1106.73 1173.94 1106.73 1147.39 1385540000 1147.39 0.0367
4/1/2002 1147.39 1147.84 1063.46 1076.92 1372613600 1076.92 -0.0614
5/1/2002 1076.92 1106.59 1048.96 1067.14 1281036300 1067.14 -0.0091
6/3/2002 1067.14 1070.74 952.92 989.82 1604925500 989.82 -0.0725
7/1/2002 989.82 994.46 775.68 911.62 2012640000 911.62 -0.0790
8/1/2002 911.62 965.00 833.44 916.07 1374013600 916.07 0.0049
9/3/2002 916.07 924.02 800.20 815.28 1472279000 815.28 -0.1100
10/1/2002 815.28 907.44 768.63 885.76 1717287300 885.76 0.0864
11/1/2002 885.76 941.82 872.05 936.31 1492221000 936.31 0.0571
12/2/2002 936.31 954.28 869.45 879.82 1289625700 879.82 -0.0603
1/2/2003 879.82 935.05 840.34 855.70 1539433800 855.70 -0.0274
2/3/2003 855.70 864.64 806.29 841.15 1400452600 841.15 -0.0170
3/3/2003 841.15 895.90 788.90 848.18 1503596600 848.18 0.0084
4/1/2003 848.18 924.24 847.85 916.92 1498005700 916.92 0.0810
5/1/2003 916.92 965.38 902.83 963.59 1554328500 963.59 0.0509
6/2/2003 963.59 1015.33 963.59 974.50 1562219000 974.50 0.0113
7/1/2003 974.50 1015.41 962.10 990.31 1507327200 990.31 0.0162
8/1/2003 990.31 1011.01 960.84 1008.01 1229836600 1008.01 0.0179
9/2/2003 1008.01 1040.29 990.36 995.97 1501457600 995.97 -0.0119
10/1/2003 995.97 1053.79 995.97 1050.71 1469452100 1050.71 0.0550
11/3/2003 1050.71 1063.65 1031.20 1058.20 1313181000 1058.20 0.0071
12/1/2003 1058.20 1112.56 1053.41 1111.92 1312119500 1111.92 0.0508
1/2/2004 1111.92 1155.38 1105.08 1131.13 1722750000 1131.13 0.0173
2/2/2004 1131.13 1158.98 1124.44 1144.94 1554000000 1144.94 0.0122
3/1/2004 1144.94 1163.23 1087.16 1126.21 1528634700 1126.21 -0.0164
4/1/2004 1126.21 1150.57 1107.23 1107.30 1583171400 1107.30 -0.0168
5/3/2004 1107.30 1127.74 1076.32 1120.68 1524950000 1120.68 0.0121
6/1/2004 1120.68 1146.34 1113.32 1140.84 1381109500 1140.84 0.0180
7/1/2004 1140.84 1140.84 1078.78 1101.72 1456371400 1101.72 -0.0343
8/2/2004 1101.72 1109.68 1060.72 1104.24 1260227200 1104.24 0.0023
9/1/2004 1104.24 1131.54 1099.18 1114.58 1360850900 1114.58 0.0094
10/1/2004 1114.58 1142.05 1090.29 1130.20 1571990400 1130.20 0.0140
11/1/2004 1130.20 1188.46 1127.60 1173.82 1524465700 1173.82 0.0386
12/1/2004 1173.78 1217.33 1173.78 1211.92 1449518100 1211.92 0.0325
1/3/2005 1211.92 1217.80 1163.75 1181.27 1658930000 1181.27 -0.0253
2/1/2005 1181.27 1212.44 1180.95 1203.60 1636467800 1203.60 0.0189
3/1/2005 1203.60 1229.11 1163.69 1180.59 1874017200 1180.59 -0.0191
4/1/2005 1180.59 1191.88 1136.15 1156.85 2180315700 1156.85 -0.0201
5/2/2005 1156.85 1199.56 1146.18 1191.50 1960127100 1191.50 0.0300
6/1/2005 1191.50 1219.59 1188.30 1191.33 1929251300 1191.33 -0.0001
7/1/2005 1191.33 1245.15 1183.55 1234.18 1962713500 1234.18 0.0360
8/1/2005 1234.18 1245.86 1201.07 1220.33 1930243400 1220.33 -0.0112
 9/1/2005 1220.33 1243.13 1205.35 1228.81 2232144200 1228.81 0.0069
10/3/2005 1228.81 1233.34 1168.20 1207.01 2493393300 1207.01 -0.0177
11/1/2005 1207.01 1270.64 1201.07 1249.48 2260836100 1249.48 0.0352
12/1/2005 1249.48 1275.80 1246.59 1248.29 2057125200 1248.29 -0.0010
1/3/2006 1248.29 1294.90 1245.74 1280.08 2595998000 1280.08 0.0255
2/1/2006 1280.08 1297.57 1253.61 1280.66 2380568400 1280.66 0.0005
3/1/2006 1280.66 1310.88 1268.42 1294.87 2310510800 1294.87 0.0111
4/3/2006 1302.88 1318.16 1280.74 1310.61 2406755200 1310.61 0.0122
5/1/2006 1310.61 1326.70 1245.34 1270.09 2591135900 1270.09 -0.0309
6/1/2006 1270.05 1290.68 1219.29 1270.20 2632855400 1270.20 0.0001
7/3/2006 1270.06 1280.42 1224.54 1276.66 2440476000 1276.66 0.0051
8/1/2006 1278.53 1306.74 1261.30 1303.82 2280876500 1303.82 0.0213
9/1/2006 1303.80 1340.28 1290.93 1335.85 2563743500 1335.85 0.0246
10/2/2006 1335.82 1389.45 1327.10 1377.94 2708938600 1377.94 0.0315
11/1/2006 1377.76 1407.89 1360.98 1400.63 2826198000 1400.63 0.0165
12/1/2006 1400.63 1431.81 1385.93 1418.30 2462849000 1418.30 0.0126
1/3/2007 1418.03 1429.42 1407.86 1416.60 6858320000 1416.60 -0.0012
 Monthly Annual
Mean D 0.0044 0.05283
Std Dev D 0.035601 0.123325

VaR (5%) -0.054156 -0.150022

VaR (95%) 0.062961 0.255681
Question 1. Calculate the average monthly % returns and standard deviation of monthly % returns for each return series
Hasro Monthly
Mean D 0.0127
Std Dev D 0.0810505201

Reynolds Monthly
Mean D 0.0229
Std Dev D 0.0936740638

S&P500 Monthly
Mean D 0.0044
Std Dev D 0.0356008348

Question 2. .5 Hasbro and .5 Reynolds Portfo

Hasbro Monthly
Mean D 0.0178
Std Dev D 0.0635416542

The mean is less than Reynolds, but higher than Hasbro. The standard deviation is less than both stock returns. Which means y

Question 3.
Hasbro Monthly Annual
Mean D 0.0127 0.152022
Std Dev D 0.0810505201 0.280767

VaR (5%) -0.12064776 -0.309799

VaR (95%) 0.1459847242 0.613843
There is a 5% chance that the hasbro annual stock return will increase by more tha .613

S&P500 Monthly Annual

Mean D 0.0044 0.05283
Std Dev D 0.0356008348 0.123325

VaR (5%) -0.054155681 -0.150022

VaR (95%) 0.0629606431 0.255681
There is a 5% chance that the S&P500 annual stock return will increase by more tha .255

Question 4
SUMMARY OUTPUT

Regression Statistics Answers:

Multiple R 0.60147849 a) the regression coefficient on
R Square 0.36177638 R squared is 1.36935. This coefficient impl
Adjusted R Square 0.35077252 S&P. Both will move in the same
Standard Error 0.06530618 will move 1.369
Observations 60 b) the regression coefficient, R2
by S&P results.
ANOVA
df SS MS F Significance F
Regression 1 0.140218 0.140218 32.87724 3.73E-07
Residual 58 0.247364 0.004265
Total 59 0.387582

Coefficients Standard Et Stat P-value Lower 95%Upper 95%Lower 95.

Intercept 0.006639927 0.008496 0.781509 0.437682 -0.010367 0.023647 -0.010367
Return S&P 1.369353975 0.238819 5.733868 3.73E-07 0.891307 1.847401 0.891307
Regression
coefficient

Question 5
Portfolio Value $2,000,000
S&P Futures price $1,550
CME S&P contracts price $250
Beta 1.369
Number of contracts 7.07 They need to sell S&P Futures to hedge exposure to market risk
optimal purchase $2,738,708
% exposure Hedged 73% The remainder 27% is the exposure unhedged
turns for each return series

oth stock returns. Which means your returns for the portfolio is more likely to be closer to the mean and is a safer option than investing in

a) the regression coefficient on the S&P500 return--commonly known as the b of Hasbro stock
is 1.36935. This coefficient implies a positive relationship between Hasbro and
S&P. Both will move in the same direction over time, e.g. when the market moves 1, hasbro
will move 1.369
b) the regression coefficient, R2 is 0.36177. This means only 36% of Hasbro's results is explained
by S&P results.

Upper 95.0%
0.023647
1.847401

market risk
a safer option than investing in the individual stocks.