From the chapter

SP 500

These columns from

French's website

Large
Stock RF

Year
1927
1928
1929
1930
1931
1932
1933
1934
1935
1936
1937
1938
1939
1940
1941
1942
1943
1944
1945
1946
1947
1948
1949
1950
1951
1952
1953
1954
1955
1956
1957
1958
1959
1960
1961
1962
1963
1964
1965
1966
1967
1968
1969
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996

35.99
39.29
-7.66
-25.90
-45.56
-9.14
54.56
-2.32
45.67
33.55
-36.03
29.42
-1.06
-9.65
-11.20
20.80
26.54
20.96
36.11
-9.26
4.88
5.29
18.24
32.68
23.47
18.91
-1.74
52.55
31.44
6.45
-11.14
43.78
12.95
0.19
27.63
-8.79
22.63
16.67
12.50
-10.25
24.11
11.00
-8.33
4.10
14.17
19.14
-14.75
-26.40
37.26
23.98
-7.26
6.50
18.77
32.48
-4.98
22.09
22.37
6.46
32.00
18.40
5.34
16.86
31.34
-3.20
30.66
7.71
9.87
1.29
37.71
23.07

3.13
3.54
4.74
2.43
1.09
0.95
0.30
0.18
0.14
0.18
0.29
-0.04
0.01
-0.02
0.04
0.28
0.36
0.33
0.32
0.36
0.50
0.81
1.12
1.22
1.49
1.65
1.83
0.86
1.57
2.47
3.15
1.53
2.98
2.67
2.12
2.73
3.11
3.53
3.92
4.75
4.21
5.22
6.57
6.52
4.39
3.84
6.93
8.01
5.80
5.08
5.13
7.19
10.38
11.26
14.72
10.53
8.80
9.84
7.72
6.16
5.47
6.36
8.38
7.84
5.60
3.50
2.90
3.91
5.60
5.20

Mkt-RF
MKt
30.29
33.42
35.51
39.05
-19.76
-15.02
-31.24
-28.81
-45.44
-44.35
-9.43
-8.48
57.2
57.5
4.09
4.27
44.7
44.84
31.97
32.15
-34.9
-34.61
28.2
28.16
2.11
2.12
-7.43
-7.45
-9.67
-9.63
16.02
16.3
27.7
28.06
21.02
21.35
38.13
38.45
-6.26
-5.9
2.88
3.38
1.52
2.33
18.99
20.11
28.81
30.03
19.34
20.83
11.64
13.29
-1.47
0.36
49.31
50.17
23.73
25.3
6.01
8.48
-13.53
-10.38
43.3
44.83
9.62
12.6
-1.52
1.15
24.82
26.94
-13.05
-10.32
17.77
20.88
12.78
16.31
10.47
14.39
-13.44
-8.69
24.36
28.57
8.95
14.17
-17.41
-10.84
-6.44
0.08
11.81
16.2
13.5
17.34
-25.68
-18.75
-35.95
-27.94
31.56
37.36
21.68
26.76
-8.1
-2.97
1.36
8.55
14.03
24.41
21.98
33.24
-18.7
-3.98
9.89
20.42
13.85
22.65
-6.68
3.16
23.69
31.41
9.4
15.56
-3.64
1.83
11.2
17.56
20.06
28.44
-13.92
-6.08
28.05
33.65
5.56
9.06
8.69
11.59
-4.67
-0.76
30.07
35.67
15.96
21.16

Continuously compounded annual

Excess
rates returns

Large
Stock Mkt
30.74
33.14
-7.97
-29.98
-60.81
-9.59
43.54
-2.35
37.62
28.93
-44.68
25.79
-1.07
-10.15
-11.88
18.90
23.54
19.03
30.83
-9.72
4.76
5.15
16.75
28.28
21.08
17.32
-1.76
42.23
27.34
6.25
-11.81
36.31
12.18
0.19
24.40
-9.20
20.40
15.42
11.78
-10.81
21.60
10.44
-8.70
4.02
13.25
17.51
-15.96
-30.65
31.67
21.50
-7.54
6.30
17.20
28.13
-5.11
19.96
20.19
6.26
27.76
16.89
5.20
15.58
27.26
-3.25
26.74
7.43
9.41
1.28
32.00
20.76

28.83
32.97
-16.28
-33.98
-58.61
-8.86
45.43
4.18
37.05
27.88
-42.48
24.81
2.10
-7.74
-10.13
15.10
24.73
19.35
32.53
-6.08
3.32
2.30
18.32
26.26
18.92
12.48
0.36
40.66
22.55
8.14
-10.96
37.04
11.87
1.14
23.85
-10.89
18.96
15.11
13.44
-9.09
25.13
13.25
-11.47
0.08
15.01
15.99
-20.79
-32.77
31.74
23.71
-3.01
8.20
21.84
28.69
-4.06
18.58
20.42
3.11
27.32
14.46
1.81
16.18
25.03
-6.27
29.00
8.67
10.97
-0.76
30.51
19.19

Large
Stock

RF
3.08
3.48
4.63
2.40
1.08
0.95
0.30
0.18
0.14
0.18
0.29
-0.04
0.01
-0.02
0.04
0.28
0.36
0.33
0.32
0.36
0.50
0.81
1.11
1.21
1.48
1.64
1.81
0.86
1.56
2.44
3.10
1.52
2.94
2.63
2.10
2.69
3.06
3.47
3.85
4.64
4.12
5.09
6.36
6.32
4.30
3.77
6.70
7.71
5.64
4.96
5.00
6.94
9.88
10.67
13.73
10.01
8.43
9.39
7.44
5.98
5.33
6.17
8.05
7.55
5.45
3.44
2.86
3.84
5.45
5.07

27.66
29.66
-12.60
-32.38
-61.89
-10.53
43.24
-2.53
37.48
28.75
-44.97
25.83
-1.08
-10.13
-11.92
18.62
23.18
18.70
30.51
-10.08
4.27
4.35
15.64
27.06
19.60
15.68
-3.57
41.38
25.78
3.81
-14.91
34.79
9.24
-2.45
22.30
-11.89
17.34
11.95
7.93
-15.45
17.48
5.35
-15.06
-2.30
8.96
13.74
-22.66
-38.36
26.03
16.54
-12.54
-0.65
7.33
17.46
-18.84
9.95
11.75
-3.13
20.33
10.91
-0.12
9.41
19.21
-10.80
21.29
3.99
6.55
-2.55
26.55
15.69

Mkt

RF
25.75
29.49
-20.91
-36.38
-59.69
-9.81
45.13
4.00
36.91
27.70
-42.77
24.85
2.09
-7.72
-10.17
14.82
24.37
19.02
32.21
-6.44
2.83
1.50
17.21
25.05
17.44
10.84
-1.45
39.80
21.00
5.70
-14.06
35.52
8.93
-1.49
21.76
-13.59
15.90
11.64
9.60
-13.73
21.01
8.16
-17.84
-6.24
10.72
12.22
-27.49
-40.47
26.11
18.76
-8.02
1.26
11.97
18.02
-17.79
8.57
11.98
-6.27
19.88
8.48
-3.51
10.01
16.98
-13.82
23.55
5.23
8.11
-4.60
25.06
14.12

0.03082
0.034788
0.046311
0.024009
0.010841
0.009455
0.002996
0.001798
0.001399
0.001798
0.002896
-0.0004
1E-04
-0.0002
0.0004
0.002796
0.003594
0.003295
0.003195
0.003594
0.004988
0.008067
0.011138
0.012126
0.01479
0.016365
0.018135
0.008563
0.015578
0.0244
0.031014
0.015184
0.029365
0.02635
0.020978
0.026934
0.030626
0.034691
0.038451
0.046406
0.041238
0.050883
0.063632
0.063163
0.042964
0.037681
0.067004
0.077054
0.05638
0.049552
0.050027
0.069433
0.098759
0.1067
0.137324
0.100117
0.084341
0.093855
0.074365
0.059777
0.053256
0.061659
0.080473
0.075478
0.054488
0.034401
0.028587
0.038355
0.054488
0.050693

1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011

33.17
28.58
21.04
-9.10
-11.89
-22.10
28.69
10.88
4.91
11.78
3.53
-36.80
26.46
15.06
2.11

5.25
4.85
4.69
5.88
3.86
1.63
1.02
1.19
2.98
4.81
4.67
1.69
0.09
0.11
0.04

25.08
17.43
20.55
-16.95
-15.12
-22.48
32.12
11.81
4.34
11.39
2.65
-39.99
31.52
17.78
-0.94

30.33
22.28
25.24
-11.07
-11.26
-20.85
33.14
13
7.32
16.2
7.32
-38.3
31.61
17.89
-0.9

28.65
25.14
19.10
-9.54
-12.66
-24.97
25.22
10.33
4.79
11.14
3.47
-45.89
23.48
14.03
-48.60

26.49
20.11
22.53
-11.75
-11.95
-23.37
28.62
12.23
7.06
15.02
7.05
-48.29
27.47
16.46
-0.90

5.12
4.74
4.58
5.71
3.79
1.62
1.01
1.18
2.94
4.70
4.56
1.68
0.09
0.11
0.04

23.53
20.40
14.51
-15.25
-16.45
-26.59
24.21
9.14
1.86
6.44
-1.10
-47.57
23.39
13.92
-48.64

21.37
15.38
17.95
-17.47
-15.73
-24.99
27.61
11.05
4.13
10.32
2.48
-49.97
27.38
16.35
-0.94

0.051168
0.047361
0.045833
0.057136
0.037874
0.016169
0.010148
0.01183
0.029365
0.046979
0.045642
0.0168
0.0009
0.0011
0.0004

Excess returns (continuously compounded)

(Total return for the risk-free rate)
299.247% 421.706% 471.905%
0.0075872

Large Stock Mkt

0.27659103 0.257512 1.03082 1.27659 1.25751
0.29660008 0.294876 1.03479
1.2966 1.29488
-0.1260037 -0.20907 1.04631
0.874 0.79093
-0.3237641 -0.36383 1.02401 0.67624 0.63617
-0.618912 -0.59693 1.01084 0.38109 0.40307
-0.1053055 -0.09807 1.00946 0.89469 0.90193
0.43241668
0.45126
1.003 1.43242 1.45126
-0.0252717 0.040015
1.0018 0.97473 1.04002
0.37477458
0.36906
1.0014 1.37477 1.36906
0.28750737 0.276969
1.0018 1.28751 1.27697
-0.4496518
-0.4277
1.0029 0.55035
0.5723
0.25829282 0.248509
0.9996 1.25829 1.24851
-0.0107566 0.020878
1.0001 0.98924 1.02088
-0.1012791 -0.07722
0.9998 0.89872 0.92278
-0.1191835 -0.10166
1.0004 0.88082 0.89834
0.18617001 0.148207
1.0028 1.18617 1.14821
0.23179474 0.243735 1.00359 1.23179 1.24374
0.18699516 0.190214 1.00329
1.187 1.19021
0.30509831 0.322144 1.00319
1.3051 1.32214
-0.1007654 -0.06441 1.00359 0.89923 0.93559
0.04265911 0.028254 1.00499 1.04266 1.02825
0.04348089 0.014965 1.00807 1.04348 1.01497
0.15640853
0.1721 1.01114 1.15641
1.1721
0.27064385 0.250469 1.01213 1.27064 1.25047
0.19603794 0.174424 1.01479 1.19604 1.17442
0.15683136 0.108415 1.01637 1.15683 1.10842
-0.0356877 -0.01454 1.01813 0.96431 0.98546
0.41375899 0.398035 1.00856 1.41376 1.39803
0.25780226 0.209963 1.01558
1.2578 1.20996
0.03810532 0.056996
1.0244 1.03811
1.057
-0.1491221 -0.14061 1.03101 0.85088 0.85939
0.34793003 0.355206 1.01518 1.34793 1.35521
0.09241045 0.089307 1.02936 1.09241 1.08931
-0.0244516 -0.01492 1.02635 0.97555 0.98508
0.22298686 0.217566 1.02098 1.22299 1.21757
-0.1189396 -0.13586 1.02693 0.88106 0.86414
0.17337531 0.159002 1.03063 1.17338
1.159
0.11948801 0.116398 1.03469 1.11949
1.1164
0.07933185 0.095992 1.03845 1.07933 1.09599
-0.1545485 -0.13732 1.04641 0.84545 0.86268
0.17476018 0.210065 1.04124 1.17476 1.21007
0.05347681 0.081635 1.05088 1.05348 1.08164
-0.1506069 -0.17837 1.06363 0.84939 0.82163
-0.0229808 -0.06236 1.06316 0.97702 0.93764
0.08955468 0.107179 1.04296 1.08955 1.10718
0.13744802 0.122224 1.03768 1.13745 1.12222
-0.2265863 -0.27489
1.067 0.77341 0.72511
-0.3835788 -0.40472 1.07705 0.61642 0.59528
0.26032642 0.261055 1.05638 1.26033 1.26105
0.1653983 0.187574 1.04955
1.1654 1.18757
-0.1253978 -0.08018 1.05003
0.8746 0.91982
-0.006458 0.012608 1.06943 0.99354 1.01261
0.07325989 0.119654 1.09876 1.07326 1.11965
0.17456189 0.180207
1.1067 1.17456 1.18021
-0.188407 -0.17794 1.13732 0.81159 0.82206
0.0994715 0.085699 1.10012 1.09947
1.0857
0.11753791 0.119823 1.08434 1.11754 1.11982
-0.0312554 -0.06274 1.09385 0.96874 0.93726
0.20326665 0.198787 1.07437 1.20327 1.19879
0.10912133 0.084842 1.05978 1.10912 1.08484
-0.0012333 -0.03512 1.05326 0.99877 0.96488
0.09414707 0.100119 1.06166 1.09415 1.10012
0.19214581 0.169818 1.08047 1.19215 1.16982
-0.1080017 -0.13821 1.07548
0.892 0.86179
0.21294016 0.235491 1.05449 1.21294 1.23549
0.03987082 0.052327
1.0344 1.03987 1.05233
0.06554021 0.081074 1.02859 1.06554 1.08107
-0.0255375 -0.04598 1.03835 0.97446 0.95402
0.26549165 0.250567 1.05449 1.26549 1.25057
0.15689 0.141249 1.05069 1.15689 1.14125

0.23528803
0.20402052
0.14511747
-0.1525464
-0.1644578
-0.2659128
0.24208789
0.0914486
0.01856805
0.06438347
-0.0109511
-0.4757
0.2339
0.1392
-0.4864

0.213731
0.153783
0.179468
-0.17468
-0.15733
-0.24987
0.276083
0.110476
0.04128
0.10325
0.024816
-0.4997
0.2738
0.1635
-0.0094

1.05117
1.04736
1.04583
1.05714
1.03787
1.01617
1.01015
1.01183
1.02936
1.04698
1.04564
1.0168
1.0009
1.0011
1.0004

18.30183
1.034792
0.034792

1.23529
1.20402
1.14512
0.84745
0.83554
0.73409
1.24209
1.09145
1.01857
1.06438
0.98905
0.5243
1.2339
1.1392
0.5136

1.21373
1.15378
1.17947
0.82532
0.84267
0.75013
1.27608
1.11048
1.04128
1.10325
1.02482
0.5003
1.2738
1.1635
0.9906

You can find the spreadsheet containing the annual returns on the combined
NYSE/NASDAQ/AMEX markets as well as the S&P 500 presented in this file
For both indexes, calculate:
a. Arithmetic and Geometric Average Return (AAR & GAR)
b. Standard deviation of return.
c. Skew of return.
d. Kurtosis of return.
e. The 5% value at risk.
f . Based on your results to parts (b)(e), compare the risk of the two indices.

Student Name:
Tuan Tran, Dane Petersen, Sokhna Gueye
Course Name:
Student ID:
Course Number:
Use the Data in Annual returns to complete the table and answer each question.

T Bill
AAR
GAR
Standard deviation of return.
Skew of return.
Kurtosis of return
Percentile
Normal
Min
Max
Serial corr
Corr
Corr

3.521%
3.479%
2.968%
0.904722083
0.696054648
0.0005
0.00088107
-0.00040008
0.137324191
0.911590098

S&P
500
4.961%
2.435%
20.961%
-0.878041
0.8760399
-0.371616
0.0439374
-0.618912
0.4324167
0.0403627
-0.084062
0.9606213

Market
5.552%
3.222%
20.297%
-0.8721858
0.94060919
-0.3460398
0.04119837
-0.5969291
0.45125976
0.05620887
-0.1414601