Historical Stock Prices At

Document Sample
Historical Stock Prices At Powered By Docstoc
					This workbook demonstrates how to calculate betas from stock price histories downloaded from the
Web (http://moneycentral.msn.com/investor in this case). Once the data is in the worksheet, it
should be sorted from oldest to newest (this isn't strictly necessary, but it facilitates charting).

Next, calculate the monthly returns from the prices (note that I am using only price returns, not
including dividends, for simplicity) as shown in F7:H66. The beta calculations are shown in J7:L7.
Note that I usually calculate the S&P 500 beta also as a check on the formula. It must always be
equal to 1.

Finally, I have also charted the characteristic lines for the securities using an XY Scatter chart. Your
X axis data is the returns on the S&P 500. The Y axis data is the returns from the security. Recall
that beta is the slope of this line. You can read it directly from the formula for the line in the chart.
n in J7:L7.



chart. Your
Historical stock prices provided by CSI, Inc. Historical mutual fund and industry prices provided by Media General Financial

S&P 500 INDEX ($INX)
Monthly prices (Aug 1999 to Aug 2004)
DATE      S&P 500 IBM           MSFT                                Returns                                        Beta
  Aug-99 1320.41        124.56      46.28               S&P 500    IBM       MSFT
  Sep-99 1282.71        121.00      45.28                 -2.86%      -2.86%   -2.16%
  Oct-99 1362.93          98.25     46.28                  6.25%     -18.80%    2.21%
  Nov-99 1388.91        103.06      45.52                  1.91%       4.90%   -1.64%
  Dec-99 1469.25        107.88      58.38                  5.78%       4.67% 28.23%
   Jan-00 1394.46       112.25      48.94                 -5.09%       4.06% -16.17%
  Feb-00 1366.42        102.75      44.69                 -2.01%      -8.46%   -8.68%
  Mar-00 1498.58        118.38      53.13                  9.67%      15.21% 18.88%
  Apr-00 1452.43        111.50      34.88                 -3.08%      -5.81% -34.35%
  May-00 1420.60        107.31      31.28                 -2.19%      -3.76% -10.31%
  Jun-00 1454.60        109.56      40.00                  2.39%       2.10% 27.87%
   Jul-00 1430.83       112.25      34.91                 -1.63%       2.45% -12.74%
  Aug-00 1517.68        132.02      34.91                  6.07%      17.61%    0.00%
  Sep-00 1436.51        112.63      30.16                 -5.35%     -14.69% -13.61%
  Oct-00 1429.40          98.50     34.44                 -0.49%     -12.54% 14.20%
  Nov-00 1314.95          93.50     28.69                 -8.01%      -5.08% -16.70%
  Dec-00 1320.28          85.00     21.69                  0.41%      -9.09% -24.40%
   Jan-01 1366.01       112.00      30.53                  3.46%      31.76% 40.77%
  Feb-01 1239.94          99.90     29.50                 -9.23%     -10.80%   -3.38%
  Mar-01 1160.33          96.18     27.34                 -6.42%      -3.72%   -7.31%
  Apr-01 1249.46        115.14      33.88                  7.68%      19.71% 23.88%
  May-01 1255.82        111.80      34.59                  0.51%      -2.90%    2.11%
  Jun-01 1224.38        113.50      36.50                 -2.50%       1.52%    5.52%
   Jul-01 1211.23       105.21      33.10                 -1.07%      -7.30%   -9.33%
  Aug-01 1133.58          99.95     28.53                 -6.41%      -5.00% -13.81%
  Sep-01 1040.94          91.72     25.59                 -8.17%      -8.23% -10.31%
  Oct-01 1059.78        108.07      29.08                  1.81%      17.83% 13.64%
  Nov-01 1139.45        115.59      32.11                  7.52%       6.96% 10.42%
  Dec-01 1148.08        120.96      33.13                  0.76%       4.65%    3.18%
   Jan-02 1130.20       107.89      31.86                 -1.56%     -10.81%   -3.83%
  Feb-02 1106.73          98.12     29.17                 -2.08%      -9.06%   -8.43%
  Mar-02 1147.39        104.00      30.16                  3.67%       5.99%    3.38%
  Apr-02 1076.92          83.76     26.13                 -6.14%     -19.46% -13.35%
  May-02 1067.14          80.45     25.46                 -0.91%      -3.95%   -2.58%
  Jun-02      989.82      72.00     27.35                 -7.25%     -10.50%    7.44%
   Jul-02     911.62      70.40     23.99                 -7.90%      -2.22% -12.29%
  Aug-02      916.07      75.38     24.54                  0.49%       7.07%    2.29%
  Sep-02      815.28      58.31     21.87                -11.00%     -22.65% -10.88%
  Oct-02      885.76      78.94     26.74                  8.64%      35.38% 22.25%
  Nov-02      936.31      86.92     28.84                  5.71%      10.11%    7.87%
  Dec-02      879.82      77.50     25.85                 -6.03%     -10.84% -10.37%
 Jan-03    855.70   78.20   23.73   -2.74%    0.90%   -8.20%
Feb-03     841.15   77.95   23.70   -1.70%   -0.32%   -0.13%
Mar-03     848.18   78.43   24.21    0.84%    0.62%    2.15%
Apr-03     916.92   84.90   25.57    8.10%    8.25%    5.62%
May-03     963.59   88.04   24.61    5.09%    3.70%   -3.75%
Jun-03     974.50   82.50   25.64    1.13%   -6.29%    4.19%
 Jul-03    990.31   81.25   26.41    1.62%   -1.52%    3.00%
Aug-03    1008.01   82.01   26.52    1.79%    0.94%    0.42%
Sep-03     995.97   88.33   27.80   -1.19%    7.71%    4.83%
Oct-03    1050.71   89.48   26.14    5.50%    1.30%   -5.97%
Nov-03    1058.20   90.54   25.71    0.71%    1.18%   -1.64%
Dec-03    1111.92   92.68   27.37    5.08%    2.36%    6.46%
 Jan-04   1131.13   99.23   27.65    1.73%    7.07%    1.02%
Feb-04    1144.94   96.50   26.53    1.22%   -2.75%   -4.05%
Mar-04    1126.21   91.84   24.93   -1.64%   -4.83%   -6.03%
Apr-04    1107.30   88.17   26.13   -1.68%   -4.00%    4.81%
May-04    1120.68   88.59   26.23    1.21%    0.48%    0.38%
Jun-04    1140.84   88.15   28.56    1.80%   -0.50%    8.88%
 Jul-04   1101.72   87.07   28.49   -3.43%   -1.23%   -0.25%
Aug-04    1104.24   84.69   27.30    0.23%   -2.73%   -4.18%
rovided by Media General Financial Services.




                      Beta
            S&P 500 IBM      MSFT
                1.00    1.44    1.61


                                                   S&P 500 Characteristic Line                  y=x
                                                                                                R² = 1
                                   15.00%
                S&P 500 Returns




                                   10.00%
                                    5.00%
                                    0.00%
                                   -5.00%
                                  -10.00%
                                  -15.00%
                                        -15.00%   -10.00%   -5.00%     0.00%        5.00%      10.00%     15.00%
                                                                  S&P 500 Returns




                                                     IBM Characteristic Line                   y = 1.4434x + 0.0016
                                                                                                    R² = 0.4227
                                   40.00%
                                   30.00%
               IBM Returns




                                   20.00%
                                   10.00%
                                    0.00%
                                  -10.00%
                                  -20.00%
                                  -30.00%
                                        -30.00% -20.00% -10.00%    0.00%   10.00%     20.00%    30.00%    40.00%
                                                                  S&P 500 Returns



                                                                                                y = 1.611x + 0.0021
                                                    MSFT Characteristic Line                        R² = 0.3648

                                  60.00%
                                  50.00%
                                  40.00%
               MSFT Returns




                                  30.00%
                                  20.00%
MSFT Returns    30.00%
                20.00%
                10.00%
                 0.00%
               -10.00%
               -20.00%
               -30.00%
               -40.00%
                     -40.00%   -20.00%   0.00%     20.00%   40.00%   60.00%
                                         S&P 500 Returns

				
DOCUMENT INFO
Description: Historical Stock Prices At document sample