An investor is conductiong an analysis of the performance of her portfolio during 2005-2008.

Stock prices Firm A Firm B Firm C Number of

Stocks
2005 12 18 20 2005
2006 13 19 21 2006
2007 14 20 22 2007
2008 15 21 23 2008

a) Calculate the simple index number of stock price based on 2005.

t Firm A Firm B Firm C
I 05
2005 1.0000 1.0000 1.0000
2006 1.0833 1.0556 1.0500
2007 1.1667 1.1111 1.1000
2008 1.2500 1.1667 1.1500

b) Calculate the growth of the price of the stock of each firm.

Firm A Firm B Firm C
Total growth 0.2500 0.1667 0.1500
25% 16.67% 15% It can represent by %, because of growth rate.

c) Which stock has been the most revaliated?

From the table, the most revaluated stock is Firm A 25%

d) Calculate the aggregate index number of the price(Laspeyres, Passche and Fisher) for the complete portfolio during 2
pit · qi0 pit · qi0 pit · qi0 pi0 · qit pi0 · qit
(Firm A) (Firm B) (Firm C) (Firm A) (Firm B)
2005 264 180 140 264 180
2006 286 190 147 300 198
2007 308 200 154 336 216
2008 330 210 161 300 234

In the text
Lt Pt Ft
2005 1.0000 1.0000 1.0000 2005
2006 1.0668 1.0664 1.0666 2006
2007 1.1336 1.1330 1.1333 2007
2008 1.2003 1.1988 1.1996 2008
Manual
Lt Pt Ft
2005 1.0000 1.0000 1.0000
2006 1.0668 1.0664 1.0666
2007 1.1336 1.1330 1.1333
2008 1.2003 1.1988 1.1996

e) Calculate yearly gwowth rate of hte portfolio

Lt Pt Ft
2005 - - -
2006 1.0668 1.0664 1.0666
2007 1.0622 1.0623 1.0623
2008 1.0587 1.0585 1.0586

f) Conclusions are homogeneous among the three indicators (L, P and F)

g) Calculate the average yearly growth of the value of the portfolio.

 Lt Pt Ft
ACGR 0.0628 0.0623 0.0625
6.28% 6.23% 6.25%

0.0628 0.0623 0.0625

 Firm A Firm B Firm C

22 10 7
25 11 9
28 12 10
25 13 8

%, because of growth rate.

her) for the complete portfolio during 2005-2008.

pi0 · qit pit · qit pit · qit pit · qit
(Firm C) (Firm A) (Firm B) (Firm C)
140 264 180 140
180 325 209 189
200 392 240 220
160 375 273 184

If represent by %
Lt Pt Ft Lt Pt Ft
1.00% 1.00% 1.00% 1 1 1
6.68% 6.64% 6.66% 1.066780822 1.066371681 1.066576232
13.36% 13.30% 13.33% 1.133561644 1.132978723 1.133270146
20.03% 19.88% 19.96% 1.200342466 1.198847262 1.199594631
 The next dataset shows the official monthly average prices of petrol(Expressed in c€/1) in Spain published by CORES(Corporacion de Reservas E
Variation
Monthly
Petrol Petrol Absolute
Year Month cent. € Nominal CPI2006s,t CPIJan2007s,t c€ Real E2007 Dys-1,t s,t
2007 January 110.76 100.45 100.00 110.76
February 110.56 100.52 100.07 110.48 -0.2770
March 112.6 101.28 100.83 111.68 1.1942
April 113.47 102.68 102.22 111.01 -0.6716
May 119.33 102.96 102.50 116.42 5.4153
June 124.45 103.15 102.69 121.19 4.7715
July 126.4 102.4 101.94 123.99 2.8005
August 120.12 102.54 102.08 117.67 -6.3213
September 117.88 102.88 102.42 115.10 -2.5760
October 109.67 104.21 103.74 105.71 -9.3827
November 95.72 104.96 104.49 91.61 -14.1060
December 86.96 105.4 104.93 82.88 -8.7310
2008 January 95.28 104.75 104.28 91.37 8.4927
February 95.34 104.91 104.44 91.29 -0.0819
March 99.83 105.84 105.37 94.75 3.4592
April 103.76 106.98 106.50 97.43 2.6805
May 108.1 107.7 107.22 100.82 3.3965
June 109.28 108.32 107.83 101.34 0.5172
July 109.04 107.8 107.32 101.61 0.2652
August 106.14 107.57 107.09 99.11 -2.4908
September 106.17 107.55 107.07 99.16 0.0465
October 106.22 107.92 107.44 98.87 -0.2934
November 109 107.46 106.98 101.89 3.0219
December 110.19 106.91 106.43 103.53 1.64

ýJan07 Dec08 -0.0653

Monthly Average Rate Jan07 Dec08 -0.0029
Yearly Average Rate Jan07 Dec08

a) Calcutate the time series of petrol prices in Spain(constant c€ of January 2007), considering the nexy table that shows CPI data based on 2006

b) Calculate the yearly, monthly and cumulated absolute variations and the relative growth of the deflated time series.

c) Caluculate the total and the yearly and monthly average growth of the deflated time series.

d) Represent the data graphcally in such a way that the difference between the nominal and real data is shown.
hed by CORES(Corporacion de Reservas Estategicas, Strategic Petroleum Reserve)
Variation
Monthly Yearly Cumulated
Rate Absolute Rate Rate
ýs-1,t s,t Dys,t-1 s,t ýs,t-1 s,t ýdic,t-1 s,t

-0.25%
1.08%
-0.60%
4.88%
4.10%
2.31%
-5.10%
-2.19%
-8.15%
-13.34%
-9.53%
10.25% -19.39 -17.51% 10.25%
-0.09% -19.20 -17.37% 10.15%
3.79% -16.93 -15.16% 14.32%
2.83% -13.58 -12.23% 17.56%
3.49% -15.60 -13.40% 21.66%
0.51% -19.85 -16.38% 22.28%
0.26% -22.39 -18.06% 22.60%
-2.45% -18.56 -15.77% 19.59%
0.05% -15.93 -13.84% 19.65%
-0.30% -6.85 -6.48% 19.30%
3.06% 10.28 11.22% 22.94%
1.61% 20.66 24.92% 24.92%

ble that shows CPI data based on 2006

 100
120
140

20
40
60
80

0
January

February

March

April

May

June

2007
July

August

September

October

November

December

January

February

cent. € Nominal
March

April

May

June

2008
July
c€ Real E2007
August

September

October

November

December
e) Estimate the trend of the deflated time series

1st 2nd
Petrol Peason's coefficient variation Moving AveraMoving Average
Year Month c€ Real E2007 Ys,t,-Ys-1,t Ys,t/Ys-1,t MA 2MA
2007 January 110.76
140
February 110.48300836 -0.276991643 0.99749917
March 111.67723144 1.1942230811 1.01080911
April 111.00566323 -0.671568212 0.99398653
May 116.4209256 5.4152623766 1.04878366 120
June 121.19246243 4.7715368312 1.04098522 109.874641
July 123.99296875 2.8005063167 1.02310792 108.258703 109.066672

Axis Title
August 117.67167934 -6.321289405 0.94901897 106.659022 107.458863 100
September 115.09570373 -2.575975612 0.97810879 105.248092 105.953557
October 105.71299779 -9.38270594 0.91847909 104.116499 104.682295
November 91.60703125 -14.10596654 0.86656356 102.816678 103.466588
80
December 82.87601518 -8.73101607 0.90469055 101.162327 101.989502
2008 January 91.36874463 8.4927294498 1.10247512 99.2967007 100.229514
February 91.286845868 -0.081898762 0.99910365 97.7502817 98.5234912
March 94.746064815 3.4592189469 1.03789395 96.4223982 97.0863399 60
April 97.426547018 2.6804822033 1.02829122 95.8519543 96.1371762
May 100.82307335 3.3965263338 1.03486243 96.70883 96.2803921
June 101.34025111 0.5171777559 1.00512956 98.430146 97.569488 40
July 101.60545455 0.2652034376 1.00261696
August 99.114650925 -2.49080362 0.97548553
September 99.161101813 0.0464508881 1.00046866
October 98.867670497 -0.293431316 0.99704086 20
November 101.88954029 3.0218697974 1.03056479
December 103.53180713 1.6422668334 1.01611811
0

June
April
January
February

May

July
March
Mean -0.3143 0.9984
Stamdard Diviat 5.0680 0.0498
CV -16.1262 0.0499
ABS 16.1262 2007
ABS, determinate absolute terms 16.1261558

CV : Peason's Coeficient Variation

 Axis Title

100
120
140

20
40
60
80

0
January
February
March
April
May
June

2007
July
August
September
October
November
December
January
February
March
April
May
Petrol Price

June

2008
July
August
September
October
November
December
2MA
c€ Real E2007
 The next table shows the data on the electricity consumptions for public lighting during 2005-2008.
2005 2006 2007 2008
Q1 4.7 5 4.9 5.1
Q2 6.2 6.6 6.7 7
Q3 6.7 7.2 7.4 7.5 8
Q4 5.1 5.3 5.1 5.8

a) Determine the most suitable decomposition scheme for this time series. 7
Year t yt yt+1-yt yt+1/yt MA4,1 MA4,2
2005 Q1 4.7 6
Q2 6.2 1.5 1.319148936 5.675
Q3 6.7 0.5 1.080645161 5.75 5.7125
Q4 5.1 -1.6 0.76119403 5.85 5.8 5
2006 Q1 5 -0.1 0.980392157 5.975 5.9125
Q2 6.6 1.6 1.32 6.025 6
4
Q3 7.2 0.6 1.090909091 6 6.0125
Q4 5.3 -1.9 0.736111111 6.025 6.0125
2007 Q1 4.9 -0.4 0.924528302 6.075 6.05 3
Q2 6.7 1.8 1.367346939 6.025 6.05
Q3 7.4 0.7 1.104477612 6.075 6.05
Q4 5.1 -2.3 0.689189189 6.15 6.1125 2
2008 Q1 5.1 0 1 6.175 6.1625
Q2 7 1.9 1.37254902 6.35 6.2625 1
Q3 7.5 0.5 1.071428571
Q4 5.8 -1.7 0.773333333 0
Q1 Q2 Q3 Q
2005
Mean 0.073333333 1.039416897
Variance 1.829955556 0.05108001
CV 18.4467068 0.217438135 SD 1.352758499
Peason's Coeficient Variation
CV=SD/Mean

b) Determine the trend by the most suitable method consider the previous result.
----> Moving Average Method

c) Represent graphically the original time series and its trend.

 Electricity consumptions
8

4
yt
MA4,2
3

0
Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4
2005 2006 2007 2008

0.226008871
The sale(in thousand€) of a store in four -month- periods during 2005-2008 is shown in the next table
2005 2006 2007 2008
4MP1 180 181 184 185
4MP2 200 220 215 250
4MP3 190 190 197 195

a) Determine the trend with the analytical method b) Represent graphically the
t 215
yt Yst-Ys-1,t Yst/Ys-1,t MA MA2
2005 4MP1 180
4MP2 200 20 1.111111111 190
210
4MP3 190 -10 0.95 190.3333333 190.1666667
2006 4MP1 181 -9 0.952631579 197 193.6666667
4MP2 220 39 1.215469613 205
197 197
4MP3 190 -30 0.863636364 198 197.5
2007 4MP1 184 -6 0.968421053 196.3333333
200 197.1666667
4MP2 215 31 1.168478261 198.6666667 197.5
4MP3 197 -18 0.91627907 199 198.8333333
2008 4MP1 185 -12 0.939086294 195
210.6666667 204.8333333
4MP2 250 65 1.351351351 210 210.3333333
4MP3 195 -55 0.78 190

Year Tremd maybe.

185
Year t yt Trend
2005 1 190 189.6666667
2006 2 197 195.8333333 180
2007 3 198.6666667 202
2008 4 210 208.1666667 175
Means 2.50 198.92 R2 2005 2006
Variances 1.25 51.52083333
Covariance 7.70833333333333 0.922631082
a 183.50 Y=a+bt Y=a+bt a=y-bt
b 6.1667 y=183,50+6,1667t y=183,50+6,1667t' b=Covariance/Varience
OLS Method
c) Forecast the sales for 2009 and provide a reliability measure of such forecast
t=5 214.33 643.00 Since the determination coefficient is 0,92, the forcast is very reliable.
Trend * 3(seasons) Because in 2009 the trend is bigger than 2008, bigger than 0,92. = 92%

2005 1 -4
2006 2 -2
2007 3 3
2008 4 2
2009 5 4
b) Represent graphically the original time series and its trend.

yt
Trend

2006 2007 2008

b=Covariance/Varience

08, bigger than 0,92. = 92%

 A stationary store sells three books of mathematical exercises: A,B, y C. The proces ( in monetary units) and the number o
Price Volume
A B C A B C
2006 1 1,5 2 500 300 100
2007 1,5 1,5 2 520 250 120
2008 2 2 3 540 250 130

a,b,c) Calculate the Lspeyres, Passche and Fischer price indexes based on 2006

pit · qi0 pit · qi0 pit · qi0 pi0 · qit pi0 · qit pi0 · qit
(Model A) (Model B) (Model C) (Model A) (Model B) (Model C)
2006 500 #VALUE! 200 500 #VALUE! 200
2007 #VALUE! #VALUE! 200 520 #VALUE! 240
2008 1000 600 300 540 #VALUE! 260

Lt Pt Ft
2006 #VALUE! #VALUE! #VALUE!
2007 #VALUE! #VALUE! #VALUE!
2008 #VALUE! #VALUE! #VALUE!

d) How has the performance ofthe portfolio been along these years?

For example, Average Growth Rate of this portfolio

Lt Pt Ft
2006 - - -
2007 #VALUE! #VALUE! #VALUE!
2008 #VALUE! #VALUE! #VALUE!
Increaseing each year.
( in monetary units) and the number of units sold during 2006-, 2007 and 2008 are shown below.

pit · qit pit · qit pit · qit

(Model A) (Model B) (Model C)
500 #VALUE! 200
#VALUE! #VALUE! 240
1080 500 390
 The sales of building inputs in four-month periods during 2005-2008 are shown below:
4-months Period/Year 2005 2006 2007 2008
1º 29.39 37.91 37.64 38.2
2º 28.92 38.91 40 46.08
3º 31.95 40.68 34.78 45.59

a) Determine the most suitable decomposition scheme for this time series.
Year t yt yt+1-yt yt+1/yt MA3,1
T1 29.39
2005 T2 28.92 -0.47 0.98400816604 30.0866666667
T3 31.95 3.03 1.10477178423 32.9266666667
T1 37.91 5.96 1.18654147105 36.2566666667
2006 T2 38.91 1 1.02637826431 39.1666666667
T3 40.68 1.77 1.04548959136 39.0766666667
T1 37.64 -3.04 0.92527040315 39.44
2007 T2 40 2.36 1.06269925611 37.4733333333
T3 34.78 -5.22 0.8695 37.66
T1 38.2 3.42 1.09833237493 39.6866666667
2008 T2 46.08 7.88 1.20628272251 43.29
T3 45.59 -0.49 0.98936631944

Mean 1.4727272727 1.0453309412

Variance 12.844419835 0.0095520652
CV 2.4335199833 0.0934963881
CV: Pearson's coefficient variation

b) Determine the trend by the most suitable method: consider the previous result.
----> Moving Average Method
SD 3.58391124816 0.09773466737
Consider the next data on indexes base when 200,2003 and 2006;

a) Cauculate the complete time series based on 2006.

Base 2000 2003 2006
2001 131 62.98 24.13
2002 152 73.08 28.00
2003 208 100 38.31
2004 260 125 47.89
2005 359.84 173 66.28
2006 542.88 261 100
2007 608.0256 292.32 112
2008 678.6 326.25 125

b) Calculate the average rate of the period.

ACGR 0.26487887