Homework – 1
Total Marks – 50
1.Load the stock data of Apple from “2011-12-31” to “2017-12-31”. Make sure it is in xts format. – 2.5 Marks
2.Subset the data of 2013. Show its head and tail. – 2.5 Marks
3.Compute Simple Moving Average Crossover, Bollinger Band, Relative Strength Index using data frame from question 1. Explain these concepts in 2-4 sentences along with R codes and plot. – 6 Marks
4.Explain Exponential Moving Average with a plot (use data frame from question 1). – 4 Marks
5.Calculate Price, total and Logarithmic return using data frame from question 1. Plot Price return vs Total return. Explain the advantages of total return in 2-4 sentences. – 5 Marks
6.Compare the return: - 5 Marks
a.Jan-2014 vs Jan-2015
b.Q2-2014 vs Q2-2015
7.Suppose you invested $100,000 in five stocks. Apple, Microsoft, Google, AT&T, Amazon ([.15, .25, .15, .25, 20]). Calculate the portfolio return from Jan-2011 to Dec-2017. Compare individual stock return with portfolio return using a plot. – 5 Marks
8.Calculate two benchmark portfolio – a) Equal- weighted and b) Value-Weighted and calculate their return with yearly rebalancing. Compare your portfolio return with both the benchmarks return using a plot. Explain your result in 2-4 sentences. – 10 Marks
9.Create a portfolio of Oracle, AT&T, Google, Texas Instruments, Intuitive Surgical and Visa over the time period - Jan-2011 to Dec-2017, equally-weighted and rebalanced monthly.
a.Calculate Portfolio return. (Both Daily and Cumulative) - 2.5 Marks
b.Calculate Risks Sharpe ratio associate with your portfolio - 2.5 Marks
c.Calculate historical VaR - 2.5 Marks
d.Calculated historical Expected Shortfall - 2.5 Marks