Overview
Datasets for analysis consist of observations for last year of ten popular stocks in U.S. This slide shows an overview of the prices and log-returns of the stocks, benchmark and risk-free rate. Next slides show information on each stock.
Symbols:
- AAPL - Apple
- SBUX - Starbucks
- MSFT - Microsoft
- CSCO - Cisco Systems
- QCOM - Qualcomm
- FB - Facebook
- AMZN - Amazon
- TSLA - Tesla
- AMD - Advanced Micro Devices
- ZNGA - Zynga
- NDAQ - Nasdaq
- IRX - 13 Week Treasury Bill
dataset with stock prices ($)
dataset with daily log-returns (%)
| Date | AAPL | AMD | AMZN | CSCO | FB | MSFT | QCOM | SBUX | TSLA | ZNGA | NDAQ |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021-04-26 | 0.0200 | 0.0384 | 0.0087 | 0.0029 | 0.0152 | 0.0146 | 0.0118 | 0.0080 | 0.0290 | 0.0093 | 0.0161 |
| 2021-04-23 | -0.0066 | -0.0173 | -0.0157 | -0.0060 | -0.0086 | -0.0090 | -0.0121 | -0.0073 | -0.0297 | 0.0075 | -0.0011 |
| 2021-04-22 | 0.0051 | 0.0326 | 0.0167 | -0.0006 | -0.0021 | 0.0049 | 0.0190 | 0.0067 | 0.0508 | 0.0162 | -0.0002 |
| 2021-04-21 | -0.0199 | -0.0229 | -0.0172 | -0.0144 | -0.0001 | 0.0043 | -0.0129 | -0.0075 | -0.0178 | -0.0143 | 0.0095 |
| 2021-04-20 | 0.0112 | -0.0161 | -0.0049 | 0.0011 | -0.0100 | -0.0092 | -0.0173 | -0.0103 | -0.0030 | -0.0308 | -0.0060 |
| 2021-04-19 | -0.0059 | -0.0141 | 0.0031 | 0.0015 | -0.0103 | 0.0028 | -0.0052 | 0.0030 | -0.0125 | 0.0185 | -0.0065 |
| 2021-04-16 | 0.0036 | 0.0364 | 0.0027 | 0.0132 | 0.0060 | 0.0060 | 0.0118 | 0.0234 | -0.0196 | 0.0037 | 0.0200 |
| 2021-04-15 | -0.0083 | 0.0055 | -0.0098 | 0.0048 | -0.0031 | 0.0017 | -0.0079 | -0.0010 | -0.0365 | 0.0047 | 0.0051 |
| 2021-04-14 | 0.0187 | 0.0026 | 0.0009 | -0.0025 | -0.0159 | 0.0009 | -0.0094 | 0.0126 | 0.0782 | -0.0131 | 0.0034 |
| 2021-04-13 | -0.0006 | -0.0296 | 0.0135 | -0.0083 | 0.0037 | 0.0100 | -0.0035 | 0.0067 | 0.0386 | 0.0216 | 0.0001 |
Apple
Apple Inc. is an American multinational technology company headquartered in Cupertino, California, that designs, develops, and sells consumer electronics, computer software, and online services. It is considered one of the Big Five companies in the U.S. information technology industry, along with Amazon, Google, Microsoft, and Facebook.
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 134.83 | 0.02 |
| 2021-04-23 | 132.16 | -0.01 |
| 2021-04-22 | 133.04 | 0.01 |
| 2021-04-21 | 132.36 | -0.02 |
| 2021-04-20 | 135.02 | 0.01 |
| 2021-04-19 | 133.51 | -0.01 |
| 2021-04-16 | 134.30 | 0.00 |
| 2021-04-15 | 133.82 | -0.01 |
| 2021-04-14 | 134.94 | 0.02 |
| 2021-04-13 | 132.44 | 0.00 |
| 2021-04-12 | 132.52 | 0.02 |
| 2021-04-09 | 129.80 | 0.01 |
| 2021-04-08 | 128.95 | 0.02 |
| 2021-04-07 | 125.83 | -0.01 |
| 2021-04-06 | 126.50 | 0.02 |
| 2021-04-05 | 123.87 | 0.00 |
| 2021-04-01 | 123.66 | 0.02 |
| 2021-03-31 | 121.65 | 0.01 |
| 2021-03-30 | 120.11 | -0.01 |
| 2021-03-29 | 121.65 | 0.01 |
| 2021-03-26 | 120.35 | 0.01 |
| 2021-03-25 | 119.54 | -0.03 |
| 2021-03-24 | 122.82 | 0.00 |
| 2021-03-23 | 123.33 | 0.02 |
| 2021-03-22 | 120.33 | 0.00 |
| 2021-03-19 | 119.90 | -0.02 |
| 2021-03-18 | 122.88 | -0.01 |
| 2021-03-17 | 124.05 | -0.01 |
| 2021-03-16 | 125.70 | 0.03 |
| 2021-03-15 | 121.41 | 0.01 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 91.38% | 89.18% | 0.38 | 0.09 | -0.08 | 0.02 | 1.36 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.239 | -4.455 | 0.359 | 0.886 | -0.02 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.03 | 0.04 | 0.03 |
| p = 0.01 | 0.06 | 0.05 | 0.06 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.05 | 0.05 | 0.05 |
| p = 0.01 | 0.07 | 0.06 | 0.09 |
Starbucks
Starbucks Corporation is an American multinational chain of coffeehouses and roastery reserves headquartered in Seattle, Washington. As the world’s largest coffeehouse chain, Starbucks is seen to be the main representation of the United States’ second wave of coffee culture. As of early 2020, the company operates over 30,000 locations worldwide in more than 70 countries.
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 116.95 | 0.01 |
| 2021-04-23 | 116.02 | -0.01 |
| 2021-04-22 | 116.87 | 0.01 |
| 2021-04-21 | 116.09 | -0.01 |
| 2021-04-20 | 116.96 | -0.01 |
| 2021-04-19 | 118.17 | 0.00 |
| 2021-04-16 | 117.82 | 0.02 |
| 2021-04-15 | 115.10 | 0.00 |
| 2021-04-14 | 115.22 | 0.01 |
| 2021-04-13 | 113.78 | 0.01 |
| 2021-04-12 | 113.02 | 0.00 |
| 2021-04-09 | 112.91 | -0.01 |
| 2021-04-08 | 113.65 | 0.01 |
| 2021-04-07 | 112.91 | 0.01 |
| 2021-04-06 | 111.38 | 0.01 |
| 2021-04-05 | 109.91 | 0.00 |
| 2021-04-01 | 110.06 | 0.00 |
| 2021-03-31 | 110.33 | 0.02 |
| 2021-03-30 | 108.42 | -0.01 |
| 2021-03-29 | 109.01 | 0.02 |
| 2021-03-26 | 107.25 | 0.02 |
| 2021-03-25 | 105.01 | -0.02 |
| 2021-03-24 | 106.63 | -0.01 |
| 2021-03-23 | 107.74 | 0.01 |
| 2021-03-22 | 106.40 | -0.02 |
| 2021-03-19 | 108.35 | -0.01 |
| 2021-03-18 | 109.28 | -0.02 |
| 2021-03-17 | 111.31 | 0.01 |
| 2021-03-16 | 110.57 | 0.02 |
| 2021-03-15 | 107.89 | 0.00 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 52.52% | 48.66% | 0.27 | 0.08 | -0.05 | 0.34 | 1.84 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.249 | -6.189 | 0.281 | 0.01 | -0.021 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.03 | 0.03 | 0.03 |
| p = 0.01 | 0.05 | 0.04 | 0.04 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.04 | 0.03 | 0.04 |
| p = 0.01 | 0.05 | 0.04 | 0.07 |
Microsoft
Microsoft Corporation is an American multinational technology company with headquarters in Redmond, Washington. It develops, manufactures, licenses, supports, and sells computer software, consumer electronics, personal computers, and related services. Its best known software products are the Microsoft Windows line of operating systems, the Microsoft Office suite, and the Internet Explorer and Edge web browsers. Its flagship hardware products are the Xbox video game consoles and the Microsoft Surface lineup of touchscreen personal computers.
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 261.66 | 0.01 |
| 2021-04-23 | 257.88 | -0.01 |
| 2021-04-22 | 260.21 | 0.00 |
| 2021-04-21 | 258.94 | 0.00 |
| 2021-04-20 | 257.82 | -0.01 |
| 2021-04-19 | 260.19 | 0.00 |
| 2021-04-16 | 259.47 | 0.01 |
| 2021-04-15 | 257.93 | 0.00 |
| 2021-04-14 | 257.48 | 0.00 |
| 2021-04-13 | 257.26 | 0.01 |
| 2021-04-12 | 254.71 | 0.01 |
| 2021-04-09 | 252.87 | 0.00 |
| 2021-04-08 | 252.77 | 0.02 |
| 2021-04-07 | 247.81 | 0.00 |
| 2021-04-06 | 247.61 | 0.02 |
| 2021-04-05 | 242.76 | 0.02 |
| 2021-04-01 | 238.47 | 0.02 |
| 2021-03-31 | 232.91 | 0.00 |
| 2021-03-30 | 233.53 | -0.01 |
| 2021-03-29 | 236.59 | 0.02 |
| 2021-03-26 | 231.55 | -0.02 |
| 2021-03-25 | 235.30 | -0.01 |
| 2021-03-24 | 237.85 | 0.00 |
| 2021-03-23 | 237.49 | 0.03 |
| 2021-03-22 | 230.27 | 0.00 |
| 2021-03-19 | 231.02 | -0.01 |
| 2021-03-18 | 232.56 | -0.02 |
| 2021-03-17 | 236.15 | 0.00 |
| 2021-03-16 | 236.28 | 0.01 |
| 2021-03-15 | 234.96 | 0.00 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 48.17% | 49.02% | 0.28 | 0.05 | -0.06 | -0.25 | 0.82 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.2 | -6.143 | 0.271 | -0.149 | -0.018 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.03 | 0.03 | 0.03 |
| p = 0.01 | 0.05 | 0.04 | 0.04 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.04 | 0.03 | 0.04 |
| p = 0.01 | 0.06 | 0.04 | 0.07 |
Cisco Systems
Cisco Systems, Inc. is an American multinational technology conglomerate headquartered in San Jose, California, in the center of Silicon Valley. Cisco develops, manufactures and sells networking hardware, software, telecommunications equipment and other high-technology services and products.Through its numerous acquired subsidiaries, such as OpenDNS, Webex, Jabber and Jasper, Cisco specializes in specific tech markets, such as the Internet of Things (IoT), domain security and energy management.
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 51.65 | 0.00 |
| 2021-04-23 | 51.50 | -0.01 |
| 2021-04-22 | 51.81 | 0.00 |
| 2021-04-21 | 51.84 | -0.01 |
| 2021-04-20 | 52.59 | 0.00 |
| 2021-04-19 | 52.53 | 0.00 |
| 2021-04-16 | 52.45 | 0.01 |
| 2021-04-15 | 51.76 | 0.00 |
| 2021-04-14 | 51.51 | 0.00 |
| 2021-04-13 | 51.64 | -0.01 |
| 2021-04-12 | 52.07 | 0.00 |
| 2021-04-09 | 51.83 | 0.00 |
| 2021-04-08 | 51.94 | 0.00 |
| 2021-04-07 | 52.01 | 0.00 |
| 2021-04-06 | 51.98 | 0.01 |
| 2021-04-05 | 51.63 | 0.00 |
| 2021-04-01 | 51.75 | 0.00 |
| 2021-03-31 | 51.83 | -0.01 |
| 2021-03-30 | 52.11 | -0.01 |
| 2021-03-29 | 52.40 | 0.03 |
| 2021-03-26 | 50.60 | 0.00 |
| 2021-03-25 | 50.58 | 0.01 |
| 2021-03-24 | 49.94 | 0.00 |
| 2021-03-23 | 50.02 | 0.02 |
| 2021-03-22 | 48.94 | 0.00 |
| 2021-03-19 | 48.71 | 0.00 |
| 2021-03-18 | 48.52 | -0.02 |
| 2021-03-17 | 49.61 | 0.01 |
| 2021-03-16 | 49.19 | 0.01 |
| 2021-03-15 | 48.90 | 0.00 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 20.96% | 18.74% | 0.26 | 0.07 | -0.08 | -0.01 | 4 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.183 | -6.487 | 0.271 | -1.107 | -0.017 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.03 | 0.03 | 0.03 |
| p = 0.01 | 0.06 | 0.04 | 0.04 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.04 | 0.03 | 0.04 |
| p = 0.01 | 0.07 | 0.04 | 0.07 |
Qualcomm
Qualcomm is an American multinational corporation headquartered in San Diego, California, and incorporated in Delaware. It creates intellectual property, semiconductors, software, and services related to wireless technology. It owns patents critical to the CDMA2000, TD-SCDMA and WCDMA mobile communications standards.
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 135.33 | 0.01 |
| 2021-04-23 | 133.74 | -0.01 |
| 2021-04-22 | 135.37 | 0.02 |
| 2021-04-21 | 132.82 | -0.01 |
| 2021-04-20 | 134.55 | -0.02 |
| 2021-04-19 | 136.90 | -0.01 |
| 2021-04-16 | 137.62 | 0.01 |
| 2021-04-15 | 136.00 | -0.01 |
| 2021-04-14 | 137.08 | -0.01 |
| 2021-04-13 | 138.38 | 0.00 |
| 2021-04-12 | 138.86 | -0.01 |
| 2021-04-09 | 139.90 | 0.00 |
| 2021-04-08 | 140.00 | 0.01 |
| 2021-04-07 | 138.33 | -0.01 |
| 2021-04-06 | 139.85 | 0.01 |
| 2021-04-05 | 139.04 | 0.03 |
| 2021-04-01 | 134.50 | 0.03 |
| 2021-03-31 | 130.96 | 0.01 |
| 2021-03-30 | 130.17 | -0.02 |
| 2021-03-29 | 132.54 | 0.04 |
| 2021-03-26 | 127.06 | 0.00 |
| 2021-03-25 | 126.66 | -0.05 |
| 2021-03-24 | 132.99 | -0.01 |
| 2021-03-23 | 134.00 | 0.01 |
| 2021-03-22 | 132.96 | 0.02 |
| 2021-03-19 | 129.79 | -0.02 |
| 2021-03-18 | 132.44 | 0.01 |
| 2021-03-17 | 131.31 | -0.01 |
| 2021-03-16 | 132.89 | 0.02 |
| 2021-03-15 | 130.06 | 0.00 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 76.69% | 75.50% | 0.39 | 0.12 | -0.11 | 0.29 | 4.22 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.236 | -4.335 | 0.375 | 0.463 | -0.02 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.04 | 0.04 | 0.04 |
| p = 0.01 | 0.06 | 0.05 | 0.06 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.05 | 0.05 | 0.05 |
| p = 0.01 | 0.09 | 0.06 | 0.10 |
Facebook is an American online social media and social networking service based in Menlo Park, California, and a flagship service of the namesake company Facebook, Inc. It was founded by Mark Zuckerberg, along with fellow Harvard College students and roommates Eduardo Saverin, Andrew McCollum, Dustin Moskovitz, and Chris Hughes.
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 303.34 | 0.02 |
| 2021-04-23 | 298.76 | -0.01 |
| 2021-04-22 | 301.33 | 0.00 |
| 2021-04-21 | 301.95 | 0.00 |
| 2021-04-20 | 301.99 | -0.01 |
| 2021-04-19 | 305.01 | -0.01 |
| 2021-04-16 | 308.17 | 0.01 |
| 2021-04-15 | 306.34 | 0.00 |
| 2021-04-14 | 307.30 | -0.02 |
| 2021-04-13 | 312.21 | 0.00 |
| 2021-04-12 | 311.05 | 0.00 |
| 2021-04-09 | 311.40 | -0.01 |
| 2021-04-08 | 314.85 | 0.03 |
| 2021-04-07 | 306.34 | -0.01 |
| 2021-04-06 | 308.84 | 0.03 |
| 2021-04-05 | 300.89 | 0.01 |
| 2021-04-01 | 298.40 | 0.03 |
| 2021-03-31 | 289.99 | 0.00 |
| 2021-03-30 | 289.83 | 0.01 |
| 2021-03-29 | 285.77 | 0.03 |
| 2021-03-26 | 278.30 | -0.01 |
| 2021-03-25 | 280.98 | -0.04 |
| 2021-03-24 | 291.00 | -0.01 |
| 2021-03-23 | 293.15 | 0.01 |
| 2021-03-22 | 290.45 | 0.03 |
| 2021-03-19 | 281.22 | 0.00 |
| 2021-03-18 | 279.87 | 0.01 |
| 2021-03-17 | 275.71 | 0.00 |
| 2021-03-16 | 276.08 | 0.03 |
| 2021-03-15 | 269.08 | 0.00 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 57.45% | 60.79% | 0.37 | 0.11 | -0.1 | 0.22 | 2.99 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.209 | -4.525 | 0.37 | 0.007 | -0.018 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.04 | 0.04 | 0.03 |
| p = 0.01 | 0.06 | 0.05 | 0.06 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.05 | 0.05 | 0.05 |
| p = 0.01 | 0.08 | 0.06 | 0.09 |
Amazon
Amazon.com, Inc. is an American multinational technology company based in Seattle, Washington, which focuses on e-commerce, cloud computing, digital streaming, and artificial intelligence. It is one of the Big Five companies in the U.S. information technology industry, along with Google, Apple, Microsoft, and Facebook. The company has been referred to as “one of the most influential economic and cultural forces in the world”, as well as the world’s most valuable brand.
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 3348.00 | 0.01 |
| 2021-04-23 | 3319.10 | -0.02 |
| 2021-04-22 | 3371.68 | 0.02 |
| 2021-04-21 | 3316.00 | -0.02 |
| 2021-04-20 | 3373.60 | 0.00 |
| 2021-04-19 | 3390.33 | 0.00 |
| 2021-04-16 | 3380.00 | 0.00 |
| 2021-04-15 | 3371.00 | -0.01 |
| 2021-04-14 | 3404.04 | 0.00 |
| 2021-04-13 | 3400.85 | 0.01 |
| 2021-04-12 | 3355.21 | 0.02 |
| 2021-04-09 | 3304.70 | 0.00 |
| 2021-04-08 | 3310.90 | 0.02 |
| 2021-04-07 | 3233.80 | 0.00 |
| 2021-04-06 | 3223.75 | 0.02 |
| 2021-04-05 | 3173.00 | 0.02 |
| 2021-04-01 | 3117.94 | 0.02 |
| 2021-03-31 | 3064.06 | 0.00 |
| 2021-03-30 | 3070.01 | 0.00 |
| 2021-03-29 | 3055.44 | 0.00 |
| 2021-03-26 | 3044.06 | -0.01 |
| 2021-03-25 | 3072.99 | -0.03 |
| 2021-03-24 | 3151.04 | 0.01 |
| 2021-03-23 | 3127.00 | 0.02 |
| 2021-03-22 | 3067.85 | 0.01 |
| 2021-03-19 | 3029.23 | -0.02 |
| 2021-03-18 | 3101.00 | 0.01 |
| 2021-03-17 | 3073.22 | -0.01 |
| 2021-03-16 | 3104.97 | 0.01 |
| 2021-03-15 | 3074.57 | 0.00 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 37.03% | 41.14% | 0.34 | 0.07 | -0.06 | 0.1 | 0.86 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.307 | -5.031 | 0.352 | -0.49 | -0.025 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.04 | 0.03 | 0.03 |
| p = 0.01 | 0.06 | 0.05 | 0.05 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.05 | 0.04 | 0.05 |
| p = 0.01 | 0.06 | 0.06 | 0.09 |
Tesla
Tesla, Inc. is an American electric vehicle and clean energy company based in Palo Alto, California. Tesla’s current products include electric cars, battery energy storage from home to grid scale, solar panels and solar roof tiles, as well as other related products and services. Tesla is ranked as the world’s best-selling plug-in and battery electric passenger car manufacturer, with a market share of 16% of the plug-in segment and 23% of the battery electric segment 2020 sales.
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 741.00 | 0.03 |
| 2021-04-23 | 719.80 | -0.03 |
| 2021-04-22 | 741.50 | 0.05 |
| 2021-04-21 | 704.77 | -0.02 |
| 2021-04-20 | 717.42 | 0.00 |
| 2021-04-19 | 719.60 | -0.01 |
| 2021-04-16 | 728.65 | -0.02 |
| 2021-04-15 | 743.10 | -0.04 |
| 2021-04-14 | 770.70 | 0.08 |
| 2021-04-13 | 712.70 | 0.04 |
| 2021-04-12 | 685.70 | 0.01 |
| 2021-04-09 | 677.77 | 0.00 |
| 2021-04-08 | 677.38 | -0.01 |
| 2021-04-07 | 687.00 | 0.00 |
| 2021-04-06 | 690.30 | -0.02 |
| 2021-04-05 | 707.71 | 0.03 |
| 2021-04-01 | 688.37 | 0.06 |
| 2021-03-31 | 646.62 | 0.07 |
| 2021-03-30 | 601.75 | -0.02 |
| 2021-03-29 | 615.64 | -0.04 |
| 2021-03-26 | 641.87 | 0.05 |
| 2021-03-25 | 613.00 | -0.09 |
| 2021-03-24 | 667.91 | -0.01 |
| 2021-03-23 | 675.77 | -0.01 |
| 2021-03-22 | 684.59 | 0.06 |
| 2021-03-19 | 646.60 | -0.06 |
| 2021-03-18 | 684.29 | 0.04 |
| 2021-03-17 | 656.87 | -0.07 |
| 2021-03-16 | 703.35 | 0.01 |
| 2021-03-15 | 694.09 | 0.04 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 402.30% | 365.66% | 0.78 | 0.17 | -0.17 | -0.07 | 1.6 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.176 | -2.056 | 0.754 | 2.964 | -0.011 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.07 | 0.08 | 0.07 |
| p = 0.01 | 0.16 | 0.11 | 0.12 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.11 | 0.10 | 0.11 |
| p = 0.01 | 0.17 | 0.13 | 0.20 |
AMD
Advanced Micro Devices, Inc. (AMD) is an American multinational semiconductor company based in Santa Clara, California, that develops computer processors and related technologies for business and consumer markets. While it initially manufactured its own processors, the company later outsourced its manufacturing, a practice known as going fabless, after GlobalFoundries was spun off in 2009. AMD’s main products include microprocessors, motherboard chipsets, embedded processors and graphics processors for servers, workstations, personal computers and embedded system applications.
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 83.35 | 0.04 |
| 2021-04-23 | 80.21 | -0.02 |
| 2021-04-22 | 81.61 | 0.03 |
| 2021-04-21 | 78.99 | -0.02 |
| 2021-04-20 | 80.82 | -0.02 |
| 2021-04-19 | 82.13 | -0.01 |
| 2021-04-16 | 83.30 | 0.04 |
| 2021-04-15 | 80.32 | 0.01 |
| 2021-04-14 | 79.88 | 0.00 |
| 2021-04-13 | 79.67 | -0.03 |
| 2021-04-12 | 82.06 | -0.01 |
| 2021-04-09 | 82.80 | -0.01 |
| 2021-04-08 | 83.32 | 0.02 |
| 2021-04-07 | 81.32 | 0.00 |
| 2021-04-06 | 81.21 | -0.01 |
| 2021-04-05 | 81.74 | 0.02 |
| 2021-04-01 | 80.16 | 0.05 |
| 2021-03-31 | 76.57 | 0.00 |
| 2021-03-30 | 76.47 | -0.01 |
| 2021-03-29 | 77.03 | 0.01 |
| 2021-03-26 | 76.62 | 0.01 |
| 2021-03-25 | 75.85 | -0.02 |
| 2021-03-24 | 77.55 | -0.03 |
| 2021-03-23 | 80.13 | 0.00 |
| 2021-03-22 | 79.99 | 0.02 |
| 2021-03-19 | 78.49 | -0.03 |
| 2021-03-18 | 81.06 | -0.01 |
| 2021-03-17 | 81.75 | -0.02 |
| 2021-03-16 | 83.66 | 0.02 |
| 2021-03-15 | 81.91 | 0.03 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 45.11% | 45.82% | 0.46 | 0.1 | -0.08 | 0.48 | 0.64 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.396 | -3.654 | 0.464 | -0.349 | -0.03 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.05 | 0.05 | 0.04 |
| p = 0.01 | 0.07 | 0.07 | 0.07 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.05 | 0.06 | 0.06 |
| p = 0.01 | 0.07 | 0.08 | 0.12 |
Zynga
Zynga Inc. is an American social game developer running social video game services and founded in April 2007 with headquarters in San Francisco, California, United States. The company primarily focuses on mobile and social networking platforms. Zynga states its mission as “connecting the world through games.”
Table showing prices and returns
| date | price | return |
|---|---|---|
| 2021-04-26 | 10.76 | 0.01 |
| 2021-04-23 | 10.66 | 0.01 |
| 2021-04-22 | 10.58 | 0.02 |
| 2021-04-21 | 10.41 | -0.01 |
| 2021-04-20 | 10.56 | -0.03 |
| 2021-04-19 | 10.89 | 0.02 |
| 2021-04-16 | 10.69 | 0.00 |
| 2021-04-15 | 10.65 | 0.00 |
| 2021-04-14 | 10.60 | -0.01 |
| 2021-04-13 | 10.74 | 0.02 |
| 2021-04-12 | 10.51 | -0.01 |
| 2021-04-09 | 10.62 | -0.01 |
| 2021-04-08 | 10.72 | 0.02 |
| 2021-04-07 | 10.47 | -0.01 |
| 2021-04-06 | 10.59 | 0.01 |
| 2021-04-05 | 10.51 | 0.02 |
| 2021-04-01 | 10.26 | 0.02 |
| 2021-03-31 | 10.08 | 0.01 |
| 2021-03-30 | 10.01 | 0.00 |
| 2021-03-29 | 10.05 | 0.02 |
| 2021-03-26 | 9.81 | 0.02 |
| 2021-03-25 | 9.61 | -0.04 |
| 2021-03-24 | 10.00 | 0.00 |
| 2021-03-23 | 10.05 | 0.00 |
| 2021-03-22 | 10.05 | 0.01 |
| 2021-03-19 | 9.93 | -0.01 |
| 2021-03-18 | 10.00 | -0.02 |
| 2021-03-17 | 10.16 | 0.01 |
| 2021-03-16 | 10.06 | -0.01 |
| 2021-03-15 | 10.20 | 0.01 |
Plots showing prices and returns
Basic statistics:
| annual_return | fact_return | annual_std_dev | max_return | min_return | skew | kurt |
|---|---|---|---|---|---|---|
| 38.84% | 37.77% | 0.41 | 0.14 | -0.08 | 0.14 | 3.1 |
Risk-Adjusted Performance Measures:
| Treynor | Sharpe | Track_Err | Info_Ratio | Alpha |
|---|---|---|---|---|
| -1.311 | -4.133 | 0.445 | -0.429 | -0.026 |
Value at Risk:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.05 | 0.04 | 0.04 |
| p = 0.01 | 0.08 | 0.06 | 0.07 |
Expected Shortfall:
| Historical | Normal Distribution | t-Student Distribution | |
|---|---|---|---|
| p = 0.05 | 0.06 | 0.05 | 0.06 |
| p = 0.01 | 0.08 | 0.07 | 0.10 |