Please do not submit any financial statements-just the answers and any calculations.
Using the annualized returns on 10-year treasury constant maturity rate bonds, the common equity of the Kellogg Company, and the S&P 500 index, calculate the following statistical measures:
- mean (of each individual asset),
- standard deviation (of each individual asset),
- variance (of each individual asset),
- skewness (of each individual asset),
- kurtosis (of each individual asset),
- covariance (between each pair of assets), and
- correlation coefficient (between each pair of assets).
NOTES:
1) If the data, as in the cases of Kellogg and the S&P 500 index, are given in terms of the price/level. You will need to:
use the holding period return to calculate the monthly return, and convert the monthly return to the annualized return.
2) The data for Kellogg (K) and the S&P 500 Index ($INX) can be obtained from MSN Money -
https://moneycentral.msn.com/home.asp
A help file for MSN Money is here -
https://home.ubalt.edu/staff/ntsbschr/Student Help Files/Using Money Central.doc
Data on 10-year treasury constant maturity rate bonds can be from the FRED2 database -
https://research.stlouisfed.org/fred2/
A help file for FRED 2 is here
https://home.ubalt.edu/staff/ntsbschr/Student Help Files/Using FRED 2.doc .
3) For your calculations, please use monthly price data for ten years (ending June 2004).