Homework Problem L.8: Stock Analysis

Record the closing price for the S&P 500 index on June 15th for the years 1998-2009 by entering sp500 in the "enter symbol" field and the appropriate date in the date field. If June 15th falls on a weekend, use the previous Friday.

Find the closing price for General Electric (symbol = GE) on the same dates. Analyze the perfomance of GE relative to the S&P 500 ("the market"). Compute the yearly rate of return for GE and for the S&P 500 from the raw price data. Then calculate the following (use 4.2% for the risk-free rate of return):

• average rate of return;
• geometric mean;
• average standard deviation;
• average covariance;
• beta;
• Jensen index;
• Sharpe index;