Exercise - Compensated Risk

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Exercise - Compensated Risk#

Data#

Consider the excess return data in data/spx_returns_weekly.xlsx.

1.#

For each stock, calculate the (annualized) mean as well as the following measures of risk

  • volatility

  • skewness

  • 5th quantile return

  • max drawdown

  • correlation to SPY

For each risk measure, make a scatter plot of stocks risk on the horizontal axis and the stock’s mean return on the vertical axis.

2.#

Do any of these scatterplots show strong evidence of a relationship between risk and return?

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