Investments, by Bodie, Kane, and Marcus, 9th Edition

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SOLUTION
Problem 12 - HPRs

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Edition
Raw Data: Annual HPRs, 1980-2009

Long-Term 12. You can find annual holding-period returns for several asset classes at
our Web site ( www.mhhe.com/bkm ); look for links to Chapter 5. Return to Main Menu
Year Large Stock TBonds
The data is provided here.
1980 28.07 2.84
1981 -2.86 -3.78 Compute the means, standard deviations, skewness, and kurtosis of the
1982 12.49 21.95 annual HPR of large stocks and long-term Treasury bonds using only the
1983 24.61 1.73 30 years of data between 1980 and 2009. How do these statistics compare
1984 6.97 7.50 with those computed from the data for the period 19261941?
1985 40.98 34.12
1986 45.10 30.56 Which do you think are the most relevant statistics to use for projecting into
the future?
1987 23.11 18.86
1988 22.61 5.24
1989 16.83 6.48
1990 -17.85 12.07
1991 18.89 18.58
Long-Term
1992 -5.24 4.65 Large Stock TBonds
1993 25.94 20.22 Average 13.04% 9.59%
1994 6.08 -1.67 Standard deviation 19.94% 10.62%
1995 16.88 26.61 Skewness -0.9643240147 0.7021973284
1996 13.10 3.68 Kurtosis 1.0309080797 -0.3816570655
1997 13.37 6.78
1998 21.64 17.21
1999 32.70 -5.60 The most relevant statistics to use for projecting into the future would seem to
2000 -15.41 8.22 be the statistics estimated over the period 1980-2009, because this later period
2001 -16.21 -0.34 seems to have been a different economic regime.
2002 -16.81 22.91
2003 37.82 11.81
2004 17.19 12.67
2005 14.39 -0.03
2006 21.52 -3.00
2007 18.94 2.30
2008 -44.00 1.20
2009 30.29 4.00

Copyright 2011 McGraw-Hill/Irwin