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Fundamentals Data Collection Graphing Rates of Return Regression CAPM

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Presentation on theme: "Fundamentals Data Collection Graphing Rates of Return Regression CAPM"— Presentation transcript:

1 Fundamentals Data Collection Graphing Rates of Return Regression CAPM
Financial Modeling Fundamentals Data Collection Graphing Rates of Return Regression CAPM Vitex.xls

2 Rates of Return

3 Prepare Spreadsheet New worksheet Label it Returns Data Returns +
Candlestick

4 Prepare Spreadsheet Set up dates and assets Rule #1:
Never enter the same information more than once. Set up dates and assets =Data!B1 =Data!L1 =Data!A3

5 Rates of Return Use the Range verification to check that you have 36 months Rule #1: Never enter the same information more than once. =Data!A3 36R x 1C =Data!A38

6 Rates of Return: Risk Free
Rates are already expressed as annual rates /12 to generate monthly data /100 to get mathematical equivalent 1% = 0.01

7 Rates of Return: Index The index has neither dividends nor splits
Use the closing price

8 Rates of Return: Equity
Adjust for dividends and splits Algebra is fun

9 Rates of Return - Equity
Make sure the returns make sense. June 2010: Does the price increase from May? May 2010: Does the price decrease from April? © Oltheten & Waspi 2012

10 Rates of Return - Equity
make sure the returns make sense Price jumped from $34.01 to $36.73 © Oltheten & Waspi 2012

11 Portfolio Returns =(F$45*$D3) +(F$46*$E3) 50/50 portfolio
=(50%*12.955%) +(50%*2.165%) =>7.560% 50/50 portfolio

12 Descriptive Statistics
Add descriptive statistics =Count(B3:B38) =Average(B3:B38) =StDev.S.(B3:B38) Sample standard deviation

13 Rates of Return Format Reality check Express as % Line up decimals
Rule #6: Format for Ease of Use Format Express as % Line up decimals Reality check If you see a % at least double check that the stock did decline 63% Rule #13: Always verify results

14 Rates of Return


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