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Beta Management Solution

The document contains monthly return data for several indexes and investments over a 24 month period. It includes the returns for each month, the variance of returns, and other statistical measures comparing the different indexes and investments. The data shows varying monthly performance for the indexes and investments over the period measured.

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Muhammad Ilyas
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80 views5 pages

Beta Management Solution

The document contains monthly return data for several indexes and investments over a 24 month period. It includes the returns for each month, the variance of returns, and other statistical measures comparing the different indexes and investments. The data shows varying monthly performance for the indexes and investments over the period measured.

Uploaded by

Muhammad Ilyas
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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Month Vanguard Index X-X^ (X-X^)^2

Jan 7.32% 6.22% 0.39%


Feb -2.47% -3.57% 0.13%
Mar 2.26% 1.16% 0.01%
Apr 5.18% 4.08% 0.17%
May 4.04% 2.94% 0.09%
Jun -0.59% -1.69% 0.03%
Jul 9.01% 7.91% 0.63%
Aug 1.86% 0.76% 0.01%
Sep -0.40% -1.50% 0.02%
Oct -2.34% -3.44% 0.12%
Nov 2.04% 0.94% 0.01%
Dec 2.38% 1.28% 0.02%
Jan -6.72% -7.82% 0.61%
Feb 1.27% 0.17% 0.00%
Mar 2.61% 1.51% 0.02%
Apr -2.50% -3.60% 0.13%
May 9.69% 8.59% 0.74%
Jun -0.69% -1.79% 0.03%
Jul -0.32% -1.42% 0.02%
Aug -9.03% -10.13% 1.03%
Sep -4.89% -5.99% 0.36%
Oct -0.41% -1.51% 0.02%
Nov 6.44% 5.34% 0.28%
Dec 2.72% 1.62% 0.03%
SUM 26.46% 4.88%
24
MEAN (X^) 1.10%

Variance 0.21%
sd 4.61%
COV c&V
California X-X^ (X-X^)^2 BROWN GrX-X^ (X-X^)^2 COV V&C
-28.26% -25.99% 6.76% 9.16% 9.83% 0.97% -1.616%
-3.03% -0.76% 0.01% 0.73% 1.40% 0.02% 0.027%
8.75% 11.02% 1.21% -0.29% 0.38% 0.00% 0.128%
-1.47% 0.80% 0.01% 2.21% 2.88% 0.08% 0.032%
-1.49% 0.78% 0.01% -1.08% -0.41% 0.00% 0.023%
-9.09% -6.82% 0.47% -0.65% 0.02% 0.00% 0.116%
10.67% 12.94% 1.67% 2.22% 2.89% 0.08% 1.023%
-9.38% -7.11% 0.51% 0.00% 0.67% 0.00% -0.054%
10.34% 12.61% 1.59% 1.88% 2.55% 0.07% -0.189%
-14.38% -12.11% 1.47% -7.55% -6.88% 0.47% 0.417%
-14.81% -12.54% 1.57% -12.84% -12.17% 1.48% -0.118%
-4.35% -2.08% 0.04% -1.70% -1.03% 0.01% -0.027%
-5.45% -3.18% 0.10% -15.21% -14.54% 2.11% 0.249%
5.00% 7.27% 0.53% 7.61% 8.28% 0.69% 0.012%
9.52% 11.79% 1.39% 1.11% 1.78% 0.03% 0.178%
-0.87% 1.40% 0.02% -0.51% 0.16% 0.00% -0.050%
0.00% 2.27% 0.05% 12.71% 13.38% 1.79% 0.195%
4.55% 6.82% 0.46% 3.32% 3.99% 0.16% -0.122%
3.48% 5.75% 0.33% 3.17% 3.84% 0.15% -0.082%
0.00% 2.27% 0.05% -14.72% -14.05% 1.97% -0.230%
-13.04% -10.77% 1.16% -1.91% -1.24% 0.02% 0.646%
0.00% 2.27% 0.05% -12.50% -11.83% 1.40% -0.034%
1.50% 3.77% 0.14% 17.26% 17.93% 3.22% 0.201%
-2.56% -0.29% 0.00% -8.53% -7.86% 0.62% -0.005%
-54.37% 19.60% -16.11% 15.34% 0.7191%
24.00% 24.00% 24
-2.27% -0.67%

0.85% 0.67%
9.23% 8.17%
0.0003
COV&B
0.6113%
-0.0501%
0.0044%
0.1175%
-0.0120%
-0.0004%
0.2286%
0.0051%
-0.0383%
0.2368%
-0.1141%
-0.0131%
1.1373%
0.0139%
0.0269%
-0.0058%
1.1491%
-0.0715%
-0.0546%
1.4235%
0.0742%
0.1789%
0.9571%
-0.1271%
5.6774%

0.0025
Month Vanguard Index X-X* (X-X8)2 California REIT
Jan 7.32% -6.22% 0.39% -28.26%
Feb -2.47% 3.57% 0.13% -3.03%
Mar 2.26% -1.16% 0.01% 8.75%
Apr 5.18% -4.08% 0.17% -1.47%
May 4.04% -2.94% 0.09% -1.49%
Jun -0.59% 1.69% 0.03% -9.09%
Jul 9.01% -7.91% 0.63% 10.67%
Aug 1.86% -0.76% 0.01% -9.38%
Sep -0.40% 1.50% 0.02% 10.34%
Oct -2.34% 3.44% 0.12% -14.38%
Nov 2.04% -0.94% 0.01% -14.81%
Dec 2.38% -1.28% 0.02% -4.35%
Jan -6.72% 7.82% 0.61% -5.45%
Feb 1.27% -0.17% 0.00% 5.00%
Mar 2.61% -1.51% 0.02% 9.52%
Apr -2.50% 3.60% 0.13% -0.87%
May 9.69% -8.59% 0.74% 0.00%
Jun -0.69% 1.79% 0.03% 4.55%
Jul -0.32% 1.42% 0.02% 3.48%
Aug -9.03% 10.13% 1.03% 0.00%
Sep -4.89% 5.99% 0.36% -13.04%
Oct -0.41% 1.51% 0.02% 0.00%
Nov 6.44% -5.34% 0.28% 1.50%
Dec 2.72% -1.62% 0.03% -2.56%
SUM 26.46% 4.88% -54.37%

X- 1.10%
Variance 0.21%
SD 0.281%
BROWN Group
9.16%
0.73%
-0.29%
2.21%
-1.08%
-0.65%
2.22%
0.00%
1.88%
-7.55%
-12.84%
-1.70%
-15.21%
7.61%
1.11%
-0.51%
12.71%
3.32%
3.17%
-14.72%
-1.91%
-12.50%
17.26%
-8.53%
-16.11%

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