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    Date Price Return Mean of Return Var: Frequency Distribution

    Uploaded by

    Ratnadeep Mitra
    This document contains daily price and return data for some investment from July 1, 2013 to August 23, 2013. It includes 62 total observations. Some key statistics calculated from the return data include: the mean return was 0.003578%, the standard deviation of returns was 0.02267883%, and the 10% and 5% Value at Risk (VaR) were -0.025485803% and -0.033725068% respectively. A frequency distribution table shows most returns fell between 0-20%.

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    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd

    Date Price Return Mean of Return Var: Frequency Distribution

    Uploaded by

    Ratnadeep Mitra
    28 views3 pages
    This document contains daily price and return data for some investment from July 1, 2013 to August 23, 2013. It includes 62 total observations. Some key statistics calculated from the return data include: the mean return was 0.003578%, the standard deviation of returns was 0.02267883%, and the 10% and 5% Value at Risk (VaR) were -0.025485803% and -0.033725068% respectively. A frequency distribution table shows most returns fell between 0-20%.

    Original Description:

    VaR Calcualation

    Original Title

    Calculation of VaR

    Copyright

    © Attribution Non-Commercial (BY-NC)

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    This document contains daily price and return data for some investment from July 1, 2013 to August 23, 2013. It includes 62 total observations. Some key statistics calculated from the return data include: the mean return was 0.003578%, the standard deviation of returns was 0.02267883%, and the 10% and 5% Value at Risk (VaR) were -0.025485803% and -0.033725068% respectively. A frequency distribution table shows most returns fell between 0-20%.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    28 views3 pages

    Date Price Return Mean of Return Var: Frequency Distribution

    Uploaded by

    Ratnadeep Mitra
    This document contains daily price and return data for some investment from July 1, 2013 to August 23, 2013. It includes 62 total observations. Some key statistics calculated from the return data include: the mean return was 0.003578%, the standard deviation of returns was 0.02267883%, and the 10% and 5% Value at Risk (VaR) were -0.025485803% and -0.033725068% respectively. A frequency distribution table shows most returns fell between 0-20%.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    of 3

    Date

    23-Aug-13
    22-Aug-13
    21-Aug-13
    20-Aug-13
    19-Aug-13
    16-Aug-13
    14-Aug-13
    13-Aug-13
    12-Aug-13
    8-Aug-13
    7-Aug-13
    6-Aug-13
    5-Aug-13
    2-Aug-13
    1-Aug-13
    31-Jul-13
    30-Jul-13
    29-Jul-13
    26-Jul-13
    25-Jul-13
    24-Jul-13
    23-Jul-13
    22-Jul-13
    19-Jul-13
    18-Jul-13
    17-Jul-13
    16-Jul-13
    15-Jul-13
    12-Jul-13
    11-Jul-13
    10-Jul-13
    9-Jul-13
    8-Jul-13
    5-Jul-13
    4-Jul-13
    3-Jul-13
    2-Jul-13
    1-Jul-13
    28-Jun-13
    27-Jun-13
    26-Jun-13
    25-Jun-13
    24-Jun-13
    21-Jun-13

    Price
    636
    621.8
    650.1
    606.35
    629
    652.25
    660
    650
    653.1
    645
    632
    656.7
    653.5
    662.25
    655.2
    648
    662.3
    677
    693.8
    688.7
    716.9
    705
    685.2
    711.1
    715
    715
    730.6
    755.8
    753
    730
    718
    696.1
    697
    707.75
    702.1
    711.8
    720.1
    723
    708
    693.5
    718.5
    696.55
    725
    731

    Return
    -0.02233
    0.045513
    -0.0673
    0.037355
    0.036963
    0.011882
    -0.01515
    0.004769
    -0.0124
    -0.02016
    0.039082
    -0.00487
    0.013389
    -0.01065
    -0.01099
    0.022068
    0.022195
    0.024815
    -0.00735
    0.040947
    -0.0166
    -0.02809
    0.037799
    0.005484
    0
    0.021818
    0.034492
    -0.0037
    -0.03054
    -0.01644
    -0.0305
    0.001293
    0.015423
    -0.00798
    0.013816
    0.011661
    0.004027
    -0.02075
    -0.02048
    0.036049
    -0.03055
    0.040844
    0.008276

    Mean of Return
    VaR
    0.003578286 Bottom 10%
    Bottom 5%
    Standard Deviation of Returns
    0.022678829

    Column1
    Mean
    Standard Error
    Median
    Mode
    Standard Deviation
    Sample Variance
    Kurtosis
    Skewness
    Range
    Minimum
    Maximum
    Sum
    Count

    0.00357829
    0.00288021
    0.00381352
    #N/A
    0.02267883
    0.00051433
    0.25207781
    -0.19888088
    0.11281037
    -0.06729734
    0.04551303
    0.22185373
    62

    Frequency Distribution
    20

    15

    10

    0
    0.00%
    -5

    20.00%

    40.00%

    60.00%

    20-Jun-13
    19-Jun-13
    18-Jun-13
    17-Jun-13
    14-Jun-13
    13-Jun-13
    12-Jun-13
    11-Jun-13
    10-Jun-13
    7-Jun-13
    6-Jun-13
    5-Jun-13
    4-Jun-13
    3-Jun-13
    31-May-13
    30-May-13
    29-May-13
    28-May-13
    27-May-13

    759
    762.85
    755.5
    756.7
    752.9
    739
    745.25
    748
    765.5
    774.7
    766.5
    762
    765
    781.25
    793
    779
    775
    788
    781.35

    0.038304
    0.005072
    -0.00963
    0.001588
    -0.00502
    -0.01846
    0.008457
    0.00369
    0.023396
    0.012018
    -0.01058
    -0.00587
    0.003937
    0.021242
    0.01504
    -0.01765
    -0.00513
    0.016774
    -0.00844

    Historical VaR
    -0.025485803 n
    -0.033725068 Bottom 10%
    Bottom 7 return
    Bottom 6 return
    Bottom 6.2 return
    n
    Bottom 5%
    Bottom 4 return
    Bottom 3 return
    Bottom 3.1 return
    Bin
    -0.067297339
    -0.051181572
    -0.035065806
    -0.018950039
    -0.002834273
    0.013281494
    0.02939726
    More

    ncy Distribution

    80.00%

    100.00%

    120.00%

    62
    6.2 return
    -0.020746888
    -0.022327044
    -0.022011013

    10% VaR

    62
    3.1 return
    -0.030501393
    -0.030544489
    -0.030540179
    Frequency
    1
    0
    0
    8
    18
    14
    11
    10

    5% VaR
    Cumulative %
    1.61%
    1.61%
    1.61%
    14.52%
    43.55%
    66.13%
    83.87%
    100.00%

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