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Portfolio Return Analysis and Variance

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The document contains information about expected stock market returns, variance and standard deviation calculations for investment returns over multiple years, and variance and standard devi…

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milanomengan
  • Expected Returns Analysis
  • Variance and Standard Deviation
  • Portfolio Performance Summary

1

Expected Returns
Normal 16% 65% 10.40% Expected Return on Stock
Boom 24% 25% 6.00% 15.10%
Recession -13% 10% -1.30%

2 Over the past 3 years an investment returned


21.25%, −15.25%, and 18.25%. What is the variance Variance
of returns? 0.0273722222222222
Average Return 0.0808333333333333

3
1 (Year) 2 (Year) 3 (Year) 4 (Year) Standard Deviation of Returns
20% -11% -14% 17% 0.155724115023974

4 Return R - Mean R R - Mean Return ^2


2018 20.36% -4.92% 24.2064
2019 25.24% -0.04% 0.0016 Variance of Return of Alpha
2020 30.24% 4.96% 24.6016 16.26986667
Total 75.84% 48.8096

Mean Return 25.28%

5 Return R - Mean R R - Mean Return ^2 Standard Deviation of Portfolio


1 10.44% -10.33% 106.7089 7.98330132213485
2 15.88% -4.89% 23.9121
3 26.32% 5.55% 30.8025
4 30.44% 9.67% 93.5089
Total 83.08% 254.9324

Mean Return 20.77%


Standard Deviation of Portfolio 63.7331
viation of Returns
24115023974

ance of Return of Alpha


16.26986667

ard Deviation of Portfolio


7.98330132213485

1 Expected Returns Normal 16% 65% 10.40% Expected Return on Stock Boom 24% 25% 6.00% 15.10% Recession -13% 10% -1.30% 2 Varia
viation of Returns 24115023974 ance of Return of Alpha 16.26986667 ard Deviation of Portfolio 7.98330132213485

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