Select an ASX listed companies. Calculate the expected return, standard deviation, and Sharpe ratio for...
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Accounting
Select an ASX listed companies. Calculate the expected return, standard deviation, and Sharpe ratio for the selected company, using historical monthly data over the 60 months ended December 2014. Please ensure that you annualise these statistics, and tabulate your results.
Suggested resources:
1. The Australian Stock Exchange (ASX) (to aid in identifying potential companies) http://www.asx.com.au/asx/markets/equityPrices.do
2. Yahoo! Finance (for calculating returns for your selected companies and for an appropriate index, to use in estimating market returns).
3. The Reserve Bank of Australia (RBA) Statistical Tables website (for risk-free rate proxies) http://www.rba.gov.au/statistics/tables/index.html.
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