Egerton University
COMMUNICAT 2015
Part A
1. Summary Statistics:
(a) Report average monthly returns for each industry using “indret ew” over the sample period.
You may choose to either report it in a tabular format or as a graph. What, if any, are the broad
patterns in these average returns across industries? (2-3 lines)
Industry
RETURNS
...[Show More]
Part A
1. Summary Statistics:
(a) Report average monthly returns for each industry using “indret ew” over the sample period.
You may choose to either report it in a tabular format or as a graph. What, if any, are the broad
patterns in these average returns across industries? (2-3 lines)
Industry |
RETURNS |
TELECOM |
0.005286 |
OTHER |
0.009000 |
DURABLE |
0.009035 |
HITEC |
0.009743 |
NODUR |
0.009795 |
UTILS |
0.010400 |
SHOPS |
0.010688 |
MANUF |
0.010860 |
HEALTH |
0.011335 |
ENERGY |
0.012165 |
(b) Report time-series standard deviations of “indirect ew" using the same format. Also, report
Sharpe ratios of "indirect ew" using the same format. You may report it in a tabular format or
as a graph. What, if any, are the broad patterns in these Sharpe Ratios across industries? (2-3
lines)
FFI10_des
c |
indret_ew |
DURABLE |
0.081142 |
ENERGY |
0.114576 |
HITEC |
0.086629 |
HEALTH |
0.081323 |
MANUF |
0.066677 |
NODUR |
0.053907 |
OTHER |
0.051967 |
SHOPS |
0.068322 |
TELECOM |
0.085986 |
UTILS |
0.039235 |
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