Saturday, January 1, 2011

Index Performance for the year 2010.


Table 1 : Summary Statistics

DJIA
HANG SENG
NIKKIE
S&P500
EURONEXT
KOSPI
NIFTY
STRAIT TIMES
Holding Period
9.39%
5.55%
-4.00%
11.00%
-0.89%
20.92%
17.25%
10.21%
Mean Return
8.66%
5.22%
-3.94%
10.08%
-0.86%
18.34%
15.36%
9.39%
SD
15.82%
17.67%
20.28%
17.68%
20.70%
14.74%
15.97%
13.22%
Sharpe Ratio
0.55
0.30
-0.19
0.57
-0.04
1.24
0.96
0.71
     Holding period return for the year 2010 calculated based on how much return you can get if you had been invested 4th January 2010 to Dec 31 2010. Mean Return is estimated as annualized average daily log return of the stock price. Standard Deviation is measured using daily data and it is annualized by assuming 252 trading days in year.  Sharpe Ration is defined as Mean divided by SD for the comparing the performance of different indices for the year 2010. (Data Source : Reuters)
Table 2 : Correlation

DJIA
HANG SENG
NIKKIE
S&P500
EURONEXT
KOSPI
NIFTY
STRAIT TIMES
DJIA
1.00
HANG SENG
0.25
1.00
NIKKIE
0.24
0.55
1.00
S&P500
0.98
0.25
0.22
1.00
EURONEXT
0.69
0.44
0.36
0.69
1.00
KOSPI
0.28
0.63
0.67
0.26
0.39
1.00
NIFTY
0.31
0.56
0.36
0.30
0.54
0.47
1.00
STRAIT TIMES
0.32
0.69
0.51
0.32
0.51
0.57
0.63
1.00

Data source : Reuters 




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