2012Fall7646 Homework 4

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Overview

You do not have to do this homework. It is optional.

This optional homework for those who are interested to delve more deeply into quantitative analysis of equities. I think you will find the results interesting.

The task: You are to compute, for each stock in the S&P 500, its correlation with $SPX ("the market") and it's Beta. Compute these values using the previous 60 days of trading. Do this for the period Jan 1, 2008 to Jan 1 2010.

Plot the results and provide a written analysis. It is up to you to determine the most effective way to present the data. Include the plots together with your write up in a single PDF document.

Deliverables

  • Turn in files as attachments by t-square. Please do not "zip" your files together first; just submit separate files as named below:
  • report.pdf Your report, including text and graphs.

How to submit

Go to the t-square site for the class, then click on the "assignments" tab. Click on "add attachment" to add your three files. Once you are sure you've added both files, click "submit."

Helpful hints

You are on your own!