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Calculate relevant statistics describing the distribution of the returns of each of the  

five companies over the 5-year period ending in December 2022, using monthly data.  

Table 5.4 in the text may be used as a guide for which statistics should be calculated.  

You should use diagrams and tables to present your results and ensure that you report  

annualised figures over the entire 5-year period, and report results for each calendar  

year of the period. Discuss and interpret your findings.

  

Commonwealth Bank of Australia (CBA) 

CSL Ltd (CSL) 

Harvey Norman Holdings Ltd (HVN) 

Qantas Airways Ltd (QAN) 

Woolworths Group Ltd (WOW)

This is a stock analysis of five companies. I’ve done the data part. My requirement is to make a report on five companies based on these data, and analyze some real events of these companies. The readers of this report are defined as people without much financial knowledge, so we hope to make it easy for the public to understand.

Sheet1

Date CBA close price CSL close price HVN close price QAN close price WOW close price CBA return CSL return HVN return QAN return WOW return Market return risk free rate Entire 5-year horizon
12/1/17 80.339996 141.300003 4.003904 5.04 27.299999 CBA CSL HVN QAN WOW Market Rf
1/1/18 78.870003 146.419998 4.339963 5.27 26.950001 -0.0182971505 0.0362349249 0.0839328316 0.0456349206 -0.01282044 0.00564811 0.0014917 monthly return 0.0063840833 0.0135770457 0.0034765045 0.0088670607 0.0049396209 0.0141527231 0.00086902
2/1/18 76.389999 163.169998 3.850277 5.89 27.610001 -0.0314441981 0.1143969419 -0.1128318375 0.1176470588 0.024489795 0.006866484 0.001475 monthly standard deviation 0.0674172881 0.058310538 0.0771117856 0.1057879073 0.0550596531 0.0413478901 0.0008073468
3/1/18 72.309998 155.460007 3.543023 5.83 26.290001 -0.053410146 -0.0472512784 -0.0798004923 -0.0101867572 -0.0478087632 -0.020882697 0.0016083 annualized return 0.0793570026 0.1756585301 0.0425250525 0.1117504448 0.0609126544 0.1836964178 0.0104782276
4/1/18 71.82 170.360001 3.379794 5.77 27.860001 -0.006776352 0.0958445473 -0.0460705448 -0.0102915952 0.0597185219 0.053494918 0.0017167 annualized standard deviation 0.2335403365 0.2019936288 0.267123061 0.3664600606 0.1907322332 0.143233293 0.0027967313
5/1/18 69.300003 185.850006 3.456607 6.35 28.459999 -0.0350876775 0.0909251286 0.0227271248 0.1005199307 0.0215361801 0.027093569 0.0016333
6/1/18 72.870003 192.619995 3.18776 6.16 30.52 0.0515151493 0.0364271659 -0.0777777167 -0.0299212598 0.0723823286 0.029917886 0.001725
7/1/18 74.790001 196.610001 3.408599 6.72 30.09 0.0263482629 0.0207143916 0.0692771727 0.0909090909 -0.0140891219 0.014014219 0.0016833 CBA return CSL return HVN return
8/1/18 71.239998 227.309998 3.456607 6.43 28.299999 -0.0474662783 0.1561466703 0.0140843789 -0.0431547619 -0.0594882353 0.032024239 0.0016333
9/1/18 71.410004 201.110001 3.434307 5.9 28.08 0.0023863841 -0.115261085 -0.0064514132 -0.0824261275 -0.0077738165 -0.003838665 0.0016083 Mean 0.0063840833 Mean 0.0135770457 Mean 0.0034765045
10/1/18 69.230003 188 3.11234 5.47 28.43 -0.0305279496 -0.0651882101 -0.0937502093 -0.0728813559 0.0124643875 -0.062714198 0.0016083 Standard Error 0.0087035345 Standard Error 0.0075278581 Standard Error 0.0099550887
11/1/18 71.230003 177.399994 3.083071 5.96 28.92 0.0288892086 -0.0563830106 -0.0094041782 0.0895795247 0.0172353148 -0.034206097 0.0016167 Median 0.0039877377 Median 0.0158325411 Median 0.0117860225
12/1/18 72.389999 185.160004 3.083071 5.79 29.42 0.0162852162 0.0437430116 0 -0.0285234899 0.0172890733 0.013937093 0.0016833 Mode ERROR:#N/A Mode ERROR:#N/A Mode ERROR:#N/A
1/1/19 69.910004 194.720001 3.287958 5.44 29.370001 -0.0342588069 0.0516310045 0.0664554919 -0.0604490501 -0.0016994901 0.059160272 0.001725 Standard Deviation 0.0674172881 Standard Deviation 0.058310538 Standard Deviation 0.0771117856
2/1/19 73.949997 193.759995 3.512359 5.73 28.67 0.0577884819 -0.0049301869 0.0682493511 0.0533088235 -0.0238338773 0.054487739 0.0016333 Sample Variance 0.0045450907 Sample Variance 0.0034001188 Sample Variance 0.0059462275
3/1/19 70.639999 194.940002 3.922134 5.66 30.4 -0.0447599477 0.0060900445 0.116666605 -0.0122164049 0.0603418207 0.013331443 0.001525 Kurtosis 2.5179453853 Kurtosis -0.1017642241 Kurtosis 0.3824145723
4/1/19 74.519997 198.570007 4.068483 5.61 31.85 0.0549263598 0.0186211396 0.0373136155 -0.0088339223 0.0476973684 0.018649473 0.0014 Skewness -0.5466770242 Skewness 0.0499203417 Skewness -0.1515471386
5/1/19 78.510002 205.490005 4.058726 5.55 31.370001 0.0535427424 0.0348491603 -0.0023981912 -0.0106951872 -0.0150706122 0.019146302 0.0012833 Range 0.3982039929 Range 0.2714077553 Range 0.393023795
6/1/19 82.779999 215 3.970917 5.4 33.23 0.0543879365 0.0462795989 -0.0216346213 -0.027027027 0.0592922837 0.038260932 0.001075 Minimum -0.2440694454 Minimum -0.115261085 Minimum -0.204851752
7/1/19 82.300003 229.619995 4.283127 5.71 35.619999 -0.0057984538 0.0679999767 0.0786241566 0.0574074074 0.0719229311 0.034552454 0.000925 Maximum 0.1541345475 Maximum 0.1561466703 Maximum 0.188172043
8/1/19 79.050003 240.869995 4.27337 6.11 37.77 -0.0394896705 0.0489939911 -0.0022780086 0.0700525394 0.0603593784 -0.019304664 0.0008167 Sum 0.383044996 Sum 0.8146227434 Sum 0.208590272
9/1/19 80.830002 233.690002 4.53 6.29 37.279999 0.0225173805 -0.029808582 0.0600533069 0.0294599018 -0.0129732857 0.020878208 0.0008167 Count 60 Count 60 Count 60
10/1/19 78.660004 256.029999 4.09 6.41 37.32 -0.0268464425 0.0955967171 -0.0971302428 0.0190779014 0.0010729882 0.011038907 0.0007333 QAN return WOW return
11/1/19 80.82 283.480011 4.3 7.3 39.759998 0.027459902 0.1072140456 0.0513447433 0.1388455538 0.0653804394 0.048020712 0.0007583 Market return
12/1/19 79.900002 275.76001 4.07 7.11 36.16 -0.0113832962 -0.0272329642 -0.0534883721 -0.0260273973 -0.0905432138 -0.007319021 0.00075 Mean 0.0088670607 Mean 0.0049396209
1/1/20 85.260002 312.049988 4.23 6.41 41.84 0.0670838531 0.1315998574 0.0393120393 -0.0984528833 0.157079646 0.041597422 0.0007417 Standard Error 0.0136571601 Standard Error 0.0071081707 Mean 0.0141527231
2/1/20 81.779999 309.440002 3.71 5.53 38.799999 -0.0408163608 -0.0083639997 -0.1229314421 -0.1372854914 -0.0726577677 -0.083556042 0.0007417 Median -0.0100340901 Median 0.0168788295 Standard Error 0.0053379897
3/1/20 61.82 296.679993 2.95 3.23 35.099998 -0.2440694454 -0.0412358096 -0.204851752 -0.4159132007 -0.095360853 -0.132020799 0.0004417 Mode ERROR:#N/A Mode ERROR:#N/A Median 0.018840211
4/1/20 62.689999 309.440002 2.78 3.86 35.75 0.0140730993 0.0430093343 -0.0576271186 0.1950464396 0.0185185766 0.125584428 0.0001417 Standard Deviation 0.1057879073 Standard Deviation 0.0550596531 Mode ERROR:#N/A
5/1/20 63.75 276.220001 3.26 3.99 35.34 0.0169086141 -0.1073552249 0.1726618705 0.0336787565 -0.0114685315 0.049368707 0.0000833 Sample Variance 0.0111910813 Sample Variance 0.0030315654 Standard Deviation 0.0413478901
6/1/20 69.419998 287 3.54 3.78 37.279999 0.0889411451 0.0390268589 0.0858895706 -0.0526315789 0.0548952745 0.018793234 0.0000833 Kurtosis 3.8446764543 Kurtosis -0.3005567983 Sample Variance 0.001709648
7/1/20 71.199997 270.100006 3.72 3.23 38.68 0.025641012 -0.0588849965 0.0508474576 -0.1455026455 0.0375536759 0.018887188 0.0000833 Skewness -0.6478387544 Skewness -0.0976319382 Kurtosis 2.5493036525
8/1/20 68.279999 286.01001 4.42 3.94 39.869999 -0.0410112096 0.0589041231 0.188172043 0.2198142415 0.0307652275 0.050607964 0.0000833 Range 0.6999227473 Range 0.2573132529 Skewness -0.7380048135
9/1/20 63.610001 287 4.53 4.05 36.43 -0.0683948165 0.0034613823 0.0248868778 0.0279187817 -0.0862803884 -0.014451933 0.000075 Minimum -0.4159132007 Minimum -0.1002336069 Range 0.257605227
10/1/20 69.019997 287.559998 4.44 4.19 38.16 0.0850494563 0.0019512125 -0.0198675497 0.0345679012 0.0474883338 0.006764349 0.0000583 Maximum 0.2840095465 Maximum 0.157079646 Minimum -0.132020799
11/1/20 79.07 297.380005 4.61 5.38 36.98 0.1456100179 0.0341494195 0.0382882883 0.2840095465 -0.0309224319 0.082418639 0.0000167 Sum 0.5320236443 Sum 0.2963772558 Maximum 0.125584428
12/1/20 82.110001 283.179993 4.69 4.85 39.310001 0.0384469584 -0.0477503926 0.0173535792 -0.0985130112 0.0630070579 0.030171599 0.0000167 Count 60 Count 60 Sum 0.849163385
1/1/21 83.510002 271.720001 5.34 4.5 40.860001 0.0170503104 -0.0404689324 0.1385927505 -0.0721649485 0.0394301694 0.004029623 0.0000083 Count 60
2/1/21 81.559998 262.589996 5.24 5 39.400002 -0.0233505443 -0.0336007838 -0.0187265918 0.1111111111 -0.0357317417 0.020781594 0.0000083
3/1/21 86.099998 264.649994 5.73 5.09 40.869999 0.0556645428 0.0078449219 0.0935114504 0.018 0.0373095666 0.013533005 0.000025
4/1/21 89.040001 271.160004 5.27 4.95 39.299999 0.0341463771 0.0245985647 -0.0802792321 -0.0275049116 -0.0384144859 0.046080531 0.0000333
5/1/21 99.720001 290.209991 5.32 4.71 41.619999 0.1199460903 0.0702536758 0.009487666 -0.0484848485 0.0590330804 0.015546972 0.0000333
6/1/21 99.870003 285.190002 5.48 4.66 38.130001 0.0015042318 -0.0172977815 0.030075188 -0.0106157113 -0.0838538703 0.025728583 0.000025
7/1/21 99.650002 288.910004 5.67 4.59 38.759998 -0.0022028737 0.0130439425 0.0346715328 -0.0150214592 0.0165223442 0.026021735 0.0000167
8/1/21 100.120003 311.940002 5.38 5.09 41.75 0.0047165177 0.0797133975 -0.0511463845 0.1089324619 0.0771414384 0.015986587 0.0000083
9/1/21 104.330002 293.399994 5.03 5.67 39.349998 0.0420495293 -0.0594345319 -0.0650557621 0.1139489194 -0.0574850778 -0.013284813 0.0000083
10/1/21 104.68 300.48999 4.96 5.35 38.080002 0.0033547205 0.0241649494 -0.013916501 -0.0564373898 -0.03227436 0.003963987 0.0000333
11/1/21 93.18 306.790009 5.07 5.06 40.82 -0.1098586167 0.0209658199 0.0221774194 -0.0542056075 0.0719537252 0.024484383 0.0000333
12/1/21 101 290.720001 4.94 5.01 38.009998 0.0839235888 -0.0523811321 -0.0256410256 -0.0098814229 -0.0688388535 0.027894621 0.00005
1/1/22 93.739998 260.350006 4.91 4.78 34.419998 -0.0718812079 -0.1044647595 -0.0060728745 -0.0459081836 -0.0944488342 -0.042436514 0.0000583
2/1/22 93.459999 259.980011 5.25 5.07 35.490002 -0.0029869747 -0.0014211446 0.0692464358 0.0606694561 0.0310866956 0.020376716 0.0000583
3/1/22 105.769997 268.149994 5.35 5.21 37.259998 0.1317140823 0.0314254275 0.019047619 0.0276134122 0.0498730882 0.071465929 0.0001417
4/1/22 103.879997 273.299988 5.09 5.6 38.509998 -0.0178689615 0.0192056465 -0.0485981308 0.0748560461 0.0335480426 -0.003750407 0.0003417
5/1/22 104.360001 271.829987 4.38 5.51 34.650002 0.0046207549 -0.0053787086 -0.1394891945 -0.0160714286 -0.1002336069 -0.016052239 0.0008333
6/1/22 90.379997 269.059998 3.71 4.47 35.599998 -0.1339594085 -0.0101901524 -0.1529680365 -0.1887477314 0.0274169104 -0.064532986 0.0013333
7/1/22 100.769997 289.839996 4.14 4.56 37.52 0.1149590656 0.0772318373 0.115902965 0.0201342282 0.0539326435 0.045359398 0.001725
8/1/22 97.470001 293.540009 4.23 5.32 36.09 -0.0327478029 0.0127657088 0.0217391304 0.1666666667 -0.0381130064 0.031052961 0.001925
9/1/22 90.699997 285.019989 4.04 5.02 33.950001 -0.0694573092 -0.0290250724 -0.0449172577 -0.0563909774 -0.0592961762 -0.045120922 0.0023
10/1/22 104.68 280.480011 4.16 5.84 33.02 0.1541345475 -0.0159286302 0.0297029703 0.1633466135 -0.027393254 0.035070981 0.0024583
11/1/22 107.860001 300.109985 4.25 6.24 34.470001 0.0303783053 0.0699870694 0.0216346154 0.0684931507 0.0439128104 0.086921542 0.00255
12/1/22 102.599998 287.76001 4.13 6.01 33.560001 -0.0487669474 -0.0411514965 -0.0282352941 -0.0368589744 -0.0263997671 -0.026380256 0.0026417

Sheet2

Date CBA return CBA return +1 CSL return CSL return +1 HVN return HVN return +1 QAN return QAN return +1 WOW return WOW return +1 Market return CBA excess return CBA excess return +1 CSL excess return CSL excess return +1 HVN excess return HVN excess return +1 QAN excess return QAN excess return +1 WOW excess return WOW excess return +1 Jan 2018- Dec 2018 CBA CLS HVN QAN WOW
12/1/17 Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return
1/1/18 -0.0182971505 0.9817028495 0.0362349249 1.0362349249 0.0839328316 1.0839328316 0.0456349206 1.0456349206 -0.01282044 0.98717956 0.00564811 -0.0197888505 0.9802111495 0.0347432249 1.0347432249 0.0824411316 1.0824411316 0.0441432206 1.0441432206 -0.01431214 0.98568786 Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric
2/1/18 -0.0314441981 0.9685558019 0.1143969419 1.1143969419 -0.1128318375 0.8871681625 0.1176470588 1.1176470588 0.024489795 1.024489795 0.006866484 -0.0329191981 0.9670808019 0.1129219419 1.1129219419 -0.1143068375 0.8856931625 0.1161720588 1.1161720588 0.023014795 1.023014795 mean (monthly) -0.0081321276 -0.0086456945 -0.0097557276 -0.0102689448 0.0258624332 0.0227835888 0.0242388332 0.0211551824 -0.0196720737 -0.0215431999 -0.0212956737 -0.0231696699 0.0139087648 0.0116275985 0.0122851648 0.0099986935 0.0069279354 0.0062517989 0.0053043354 0.0046279887
3/1/18 -0.053410146 0.946589854 -0.0472512784 0.9527487216 -0.0798004923 0.9201995077 -0.0101867572 0.9898132428 -0.0478087632 0.9521912368 -0.020882697 -0.055018446 0.944981554 -0.0488595784 0.9511404216 -0.0814087923 0.9185912077 -0.0117950572 0.9882049428 -0.0494170632 0.9505829368 mean (annualised) -0.0933370287 -0.0989544112 -0.1109870863 -0.1165003737 0.358530885 0.3104033975 0.3329530499 0.2855854507 -0.2121265 -0.2299837858 -0.2276429817 -0.2452039313 0.1802840236 0.1488095238 0.1578024577 0.1268075391 0.0863772857 0.0776557171 0.0655422271 0.0569715066
4/1/18 -0.006776352 0.993223648 0.0958445473 1.0958445473 -0.0460705448 0.9539294552 -0.0102915952 0.9897084048 0.0597185219 1.0597185219 0.053494918 -0.008493052 0.991506948 0.0941278473 1.0941278473 -0.0477872448 0.9522127552 -0.0120082952 0.9879917048 0.0580018219 1.0580018219 standard deviation(monthly) 0.0334367618 0.0334367618 0.0333974831 0.0333974831 0.0824755648 0.0824755648 0.0824745481 0.0824745481 0.0633211328 0.0633211328 0.0633199859 0.0633199859 0.0712752617 0.0712752617 0.071302465 0.071302465 0.0384852526 0.0384852526 0.0384585941 0.0384585941
5/1/18 -0.0350876775 0.9649123225 0.0909251286 1.0909251286 0.0227271248 1.0227271248 0.1005199307 1.1005199307 0.0215361801 1.0215361801 0.027093569 -0.0367209775 0.9632790225 0.0892918286 1.0892918286 0.0210938248 1.0210938248 0.0988866307 1.0988866307 0.0199028801 1.0199028801 standard deviation(annualised) 0.1158283404 0.1158283404 0.1156922753 0.1156922753 0.2857037374 0.2857037374 0.2857002154 0.2857002154 0.2193508385 0.2193508385 0.2193468656 0.2193468656 0.2469047493 0.2469047493 0.2469989842 0.2469989842 0.1333168256 0.1333168256 0.133224478 0.133224478
6/1/18 0.0515151493 1.0515151493 0.0364271659 1.0364271659 -0.0777777167 0.9222222833 -0.0299212598 0.9700787402 0.0723823286 1.0723823286 0.029917886 0.0497901493 1.0497901493 0.0347021659 1.0347021659 -0.0795027167 0.9204972833 -0.0316462598 0.9683537402 0.0706573286 1.0706573286 sharp ratio -0.9593301375 -1.0069848952 1.1653930658 0.9995983038 -1.0378219039 -1.1178820846 0.6388789745 0.5133929578 0.4919683538 0.4276354278
7/1/18 0.0263482629 1.0263482629 0.0207143916 1.0207143916 0.0692771727 1.0692771727 0.0909090909 1.0909090909 -0.0140891219 0.9859108781 0.014014219 0.0246649629 1.0246649629 0.0190310916 1.0190310916 0.0675938727 1.0675938727 0.0892257909 1.0892257909 -0.0157724219 0.9842275781
8/1/18 -0.0474662783 0.9525337217 0.1561466703 1.1561466703 0.0140843789 1.0140843789 -0.0431547619 0.9568452381 -0.0594882353 0.9405117647 0.032024239 -0.0490995783 0.9509004217 0.1545133703 1.1545133703 0.0124510789 1.0124510789 -0.0447880619 0.9552119381 -0.0611215353 0.9388784647
9/1/18 0.0023863841 1.0023863841 -0.115261085 0.884738915 -0.0064514132 0.9935485868 -0.0824261275 0.9175738725 -0.0077738165 0.9922261835 -0.003838665 0.0007780841 1.0007780841 -0.116869385 0.883130615 -0.0080597132 0.9919402868 -0.0840344275 0.9159655725 -0.0093821165 0.9906178835
10/1/18 -0.0305279496 0.9694720504 -0.0651882101 0.9348117899 -0.0937502093 0.9062497907 -0.0728813559 0.9271186441 0.0124643875 1.0124643875 -0.062714198 -0.0321362496 0.9678637504 -0.0667965101 0.9332034899 -0.0953585093 0.9046414907 -0.0744896559 0.9255103441 0.0108560875 1.0108560875
11/1/18 0.0288892086 1.0288892086 -0.0563830106 0.9436169894 -0.0094041782 0.9905958218 0.0895795247 1.0895795247 0.0172353148 1.0172353148 -0.034206097 0.0272725086 1.0272725086 -0.0579997106 0.9420002894 -0.0110208782 0.9889791218 0.0879628247 1.0879628247 0.0156186148 1.0156186148
12/1/18 0.0162852162 1.0162852162 0.0437430116 1.0437430116 0 1 -0.0285234899 0.9714765101 0.0172890733 1.0172890733 0.013937093 0.0146019162 1.0146019162 0.0420597116 1.0420597116 -0.0016833 0.9983167 -0.0302067899 0.9697932101 0.0156057733 1.0156057733 Jan 2019- Dec 2019 CBA CLS HVN QAN WOW
1/1/19 -0.0342588069 0.9657411931 0.0516310045 1.0516310045 0.0664554919 1.0664554919 -0.0604490501 0.9395509499 -0.0016994901 0.9983005099 0.059160272 -0.0359838069 0.9640161931 0.0499060045 1.0499060045 0.0647304919 1.0647304919 -0.0621740501 0.9378259499 -0.0034244901 0.9965755099 Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return
2/1/19 0.0577884819 1.0577884819 -0.0049301869 0.9950698131 0.0682493511 1.0682493511 0.0533088235 1.0533088235 -0.0238338773 0.9761661227 0.054487739 0.0561551819 1.0561551819 -0.0065634869 0.9934365131 0.0666160511 1.0666160511 0.0516755235 1.0516755235 -0.0254671773 0.9745328227 Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric
3/1/19 -0.0447599477 0.9552400523 0.0060900445 1.0060900445 0.116666605 1.116666605 -0.0122164049 0.9877835951 0.0603418207 1.0603418207 0.013331443 -0.0462849477 0.9537150523 0.0045650445 1.0045650445 0.115141605 1.115141605 -0.0137414049 0.9862585951 0.0588168207 1.0588168207 mean (monthly) 0.0090071821 0.0082595672 0.0078870488 0.0071402468 0.0346086621 0.0337495703 0.0334885288 0.0326252106 0.0251481529 0.0234129472 0.0240280195 0.0223025502 0.0185752616 0.017261449 0.0174551282 0.016131213 0.0184955609 0.0173384983 0.0173754276 0.0162174203
4/1/19 0.0549263598 1.0549263598 0.0186211396 1.0186211396 0.0373136155 1.0373136155 -0.0088339223 0.9911660777 0.0476973684 1.0476973684 0.018649473 0.0535263598 1.0535263598 0.0172211396 1.0172211396 0.0359136155 1.0359136155 -0.0102339223 0.9897660777 0.0462973684 1.0462973684 mean (annualised) 0.1136047909 0.1037436539 0.0988600267 0.0891292369 0.5042267994 0.4893065675 0.4847998888 0.4699842617 0.3472233522 0.3201123166 0.3296645186 0.3030267458 0.2471465497 0.2279792746 0.2307877949 0.2117066854 0.245976025 0.2290958532 0.2296313528 0.2129408571
5/1/19 0.0535427424 1.0535427424 0.0348491603 1.0348491603 -0.0023981912 0.9976018088 -0.0106951872 0.9893048128 -0.0150706122 0.9849293878 0.019146302 0.0522594424 1.0522594424 0.0335658603 1.0335658603 -0.0036814912 0.9963185088 -0.0119784872 0.9880215128 -0.0163539122 0.9836460878 standard deviation(monthly) 0.0405522099 0.0405522099 0.0405014264 0.0405014264 0.0440508301 0.0440508301 0.0441447945 0.0441447945 0.0615609688 0.0615609688 0.0613559047 0.0613559047 0.0546209203 0.0546209203 0.0547992216 0.0547992216 0.0500754709 0.0500754709 0.0500761179 0.0500761179
6/1/19 0.0543879365 1.0543879365 0.0462795989 1.0462795989 -0.0216346213 0.9783653787 -0.027027027 0.972972973 0.0592922837 1.0592922837 0.038260932 0.0533129365 1.0533129365 0.0452045989 1.0452045989 -0.0227096213 0.9772903787 -0.028102027 0.971897973 0.0582172837 1.0582172837 standard deviation(annualised) 0.1404769759 0.1404769759 0.1403010566 0.1403010566 0.1525965518 0.1525965518 0.1529220539 0.1529220539 0.2132534515 0.2132534515 0.2125430886 0.2125430886 0.1892124181 0.1892124181 0.189830072 0.189830072 0.1734665198 0.1734665198 0.1734687608 0.1734687608
7/1/19 -0.0057984538 0.9942015462 0.0679999767 1.0679999767 0.0786241566 1.0786241566 0.0574074074 1.0574074074 0.0719229311 1.0719229311 0.034552454 -0.0067234538 0.9932765462 0.0670749767 1.0670749767 0.0776991566 1.0776991566 0.0564824074 1.0564824074 0.0709979311 1.0709979311 sharp ratio 0.7046278134 0.6352713167 3.1702418081 3.0733582868 1.5510479348 1.4257191231 1.2157599293 1.1152431388 1.3237619941 1.227545848
8/1/19 -0.0394896705 0.9605103295 0.0489939911 1.0489939911 -0.0022780086 0.9977219914 0.0700525394 1.0700525394 0.0603593784 1.0603593784 -0.019304664 -0.0403063705 0.9596936295 0.0481772911 1.0481772911 -0.0030947086 0.9969052914 0.0692358394 1.0692358394 0.0595426784 1.0595426784
9/1/19 0.0225173805 1.0225173805 -0.029808582 0.970191418 0.0600533069 1.0600533069 0.0294599018 1.0294599018 -0.0129732857 0.9870267143 0.020878208 0.0217006805 1.0217006805 -0.030625282 0.969374718 0.0592366069 1.0592366069 0.0286432018 1.0286432018 -0.0137899857 0.9862100143
10/1/19 -0.0268464425 0.9731535575 0.0955967171 1.0955967171 -0.0971302428 0.9028697572 0.0190779014 1.0190779014 0.0010729882 1.0010729882 0.011038907 -0.0275797425 0.9724202575 0.0948634171 1.0948634171 -0.0978635428 0.9021364572 0.0183446014 1.0183446014 0.0003396882 1.0003396882
11/1/19 0.027459902 1.027459902 0.1072140456 1.1072140456 0.0513447433 1.0513447433 0.1388455538 1.1388455538 0.0653804394 1.0653804394 0.048020712 0.026701602 1.026701602 0.1064557456 1.1064557456 0.0505864433 1.0505864433 0.1380872538 1.1380872538 0.0646221394 1.0646221394
12/1/19 -0.0113832962 0.9886167038 -0.0272329642 0.9727670358 -0.0534883721 0.9465116279 -0.0260273973 0.9739726027 -0.0905432138 0.9094567862 -0.007319021 -0.0121332962 0.9878667038 -0.0279829642 0.9720170358 -0.0542383721 0.9457616279 -0.0267773973 0.9732226027 -0.0912932138 0.9087067862
1/1/20 0.0670838531 1.0670838531 0.1315998574 1.1315998574 0.0393120393 1.0393120393 -0.0984528833 0.9015471167 0.157079646 1.157079646 0.041597422 0.0663421531 1.0663421531 0.1308581574 1.1308581574 0.0385703393 1.0385703393 -0.0991945833 0.9008054167 0.156337946 1.156337946 Jan 2020- Dec 2020 CBA CLS HVN QAN WOW
2/1/20 -0.0408163608 0.9591836392 -0.0083639997 0.9916360003 -0.1229314421 0.8770685579 -0.1372854914 0.8627145086 -0.0726577677 0.9273422323 -0.083556042 -0.0415580608 0.9584419392 -0.0091056997 0.9908943003 -0.1236731421 0.8763268579 -0.1380271914 0.8619728086 -0.0733994677 0.9266005323 Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return
3/1/20 -0.2440694454 0.7559305546 -0.0412358096 0.9587641904 -0.204851752 0.795148248 -0.4159132007 0.5840867993 -0.095360853 0.904639147 -0.132020799 -0.2445111454 0.7554888546 -0.0416775096 0.9583224904 -0.205293452 0.794706548 -0.4163549007 0.5836450993 -0.095802553 0.904197447 Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric
4/1/20 0.0140730993 1.0140730993 0.0430093343 1.0430093343 -0.0576271186 0.9423728814 0.1950464396 1.1950464396 0.0185185766 1.0185185766 0.125584428 0.0139313993 1.0139313993 0.0428676343 1.0428676343 -0.0577688186 0.9422311814 0.1949047396 1.1949047396 0.0183768766 1.0183768766 mean (monthly) 0.007288527 0.0013204848 0.0070746353 0.0020520559 0.0040426471 0.0022150959 0.0038287554 0.0020056662 0.017677822 0.0118858809 0.0174639303 0.0116558515 -0.0127719287 -0.0313742471 -0.0129858203 -0.0316206805 0.0093848183 0.0069847327 0.0091709266 0.0067696056
5/1/20 0.0169086141 1.0169086141 -0.1073552249 0.8926447751 0.1726618705 1.1726618705 0.0336787565 1.0336787565 -0.0114685315 0.9885314685 0.049368707 0.0168253141 1.0168253141 -0.1074385249 0.8925614751 0.1725785705 1.1725785705 0.0335954565 1.0335954565 -0.0115518315 0.9884481685 mean (annualised) 0.0910550115 0.0159614081 0.0882781084 0.0249045023 0.0496050707 0.0269073931 0.0469250381 0.0243352751 0.2340243283 0.1523341523 0.2309155729 0.1491945937 -0.1429425197 -0.317862166 -0.1451681351 -0.3199418116 0.1186165001 0.0871128595 0.1157753546 0.0843291888
6/1/20 0.0889411451 1.0889411451 0.0390268589 1.0390268589 0.0858895706 1.0858895706 -0.0526315789 0.9473684211 0.0548952745 1.0548952745 0.018793234 0.0888578451 1.0888578451 0.0389435589 1.0389435589 0.0858062706 1.0858062706 -0.0527148789 0.9472851211 0.0548119745 1.0548119745 standard deviation(monthly) 0.100192637 0.100192637 0.0633819645 0.0633819645 0.0633819645 0.0633819645 0.0632915926 0.0632915926 0.111256123 0.111256123 0.1113895267 0.1113895267 0.1914879562 0.1914879562 0.1916240283 0.1916240283 0.0729010713 0.0729010713 0.0728951218 0.0728951218
7/1/20 0.025641012 1.025641012 -0.0588849965 0.9411150035 0.0508474576 1.0508474576 -0.1455026455 0.8544973545 0.0375536759 1.0375536759 0.018887188 0.025557712 1.025557712 -0.0589682965 0.9410317035 0.0507641576 1.0507641576 -0.1455859455 0.8544140545 0.0374703759 1.0374703759 standard deviation(annualised) 0.3470774757 0.3470774757 0.2195615656 0.2195615656 0.2195615656 0.2195615656 0.2192485081 0.2192485081 0.3854025152 0.3854025152 0.3858646394 0.3858646394 0.6633337383 0.6633337383 0.6638051059 0.6638051059 0.2525367188 0.2525367188 0.2525161092 0.2525161092
8/1/20 -0.0410112096 0.9589887904 0.0589041231 1.0589041231 0.188172043 1.188172043 0.2198142415 1.2198142415 0.0307652275 1.0307652275 0.050607964 -0.0410945096 0.9589054904 0.0588208231 1.0588208231 0.188088743 1.188088743 0.2197309415 1.2197309415 0.0306819275 1.0306819275 sharp ratio 0.4020653987 0.1134283326 0.2140267156 0.1109940283 0.5984367298 0.3866500801 -0.2186908985 -0.4819815466 0.4584870052 0.3339556793
9/1/20 -0.0683948165 0.9316051835 0.0034613823 1.0034613823 0.0248868778 1.0248868778 0.0279187817 1.0279187817 -0.0862803884 0.9137196116 -0.014451933 -0.0684698165 0.9315301835 0.0033863823 1.0033863823 0.0248118778 1.0248118778 0.0278437817 1.0278437817 -0.0863553884 0.9136446116
10/1/20 0.0850494563 1.0850494563 0.0019512125 1.0019512125 -0.0198675497 0.9801324503 0.0345679012 1.0345679012 0.0474883338 1.0474883338 0.006764349 0.0849911563 1.0849911563 0.0018929125 1.0018929125 -0.0199258497 0.9800741503 0.0345096012 1.0345096012 0.0474300338 1.0474300338
11/1/20 0.1456100179 1.1456100179 0.0341494195 1.0341494195 0.0382882883 1.0382882883 0.2840095465 1.2840095465 -0.0309224319 0.9690775681 0.082418639 0.1455933179 1.1455933179 0.0341327195 1.0341327195 0.0382715883 1.0382715883 0.2839928465 1.2839928465 -0.0309391319 0.9690608681
12/1/20 0.0384469584 1.0384469584 -0.0477503926 0.9522496074 0.0173535792 1.0173535792 -0.0985130112 0.9014869888 0.0630070579 1.0630070579 0.030171599 0.0384302584 1.0384302584 -0.0477670926 0.9522329074 0.0173368792 1.0173368792 -0.0985297112 0.9014702888 0.0629903579 1.0629903579
1/1/21 0.0170503104 1.0170503104 -0.0404689324 0.9595310676 0.1385927505 1.1385927505 -0.0721649485 0.9278350515 0.0394301694 1.0394301694 0.004029623 0.0170420104 1.0170420104 -0.0404772324 0.9595227676 0.1385844505 1.1385844505 -0.0721732485 0.9278267515 0.0394218694 1.0394218694
2/1/21 -0.0233505443 0.9766494557 -0.0336007838 0.9663992162 -0.0187265918 0.9812734082 0.1111111111 1.1111111111 -0.0357317417 0.9642682583 0.020781594 -0.0233588443 0.9766411557 -0.0336090838 0.9663909162 -0.0187348918 0.9812651082 0.1111028111 1.1111028111 -0.0357400417 0.9642599583 Jan 2021- Dec 2021 CBA CLS HVN QAN WOW
3/1/21 0.0556645428 1.0556645428 0.0078449219 1.0078449219 0.0935114504 1.0935114504 0.018 1.018 0.0373095666 1.0373095666 0.013533005 0.0556395428 1.0556395428 0.0078199219 1.0078199219 0.0934864504 1.0934864504 0.017975 1.017975 0.0372845666 1.0372845666 Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return
4/1/21 0.0341463771 1.0341463771 0.0245985647 1.0245985647 -0.0802792321 0.9197207679 -0.0275049116 0.9724950884 -0.0384144859 0.9615855141 0.046080531 0.0341130771 1.0341130771 0.0245652647 1.0245652647 -0.0803125321 0.9196874679 -0.0275382116 0.9724617884 -0.0384477859 0.9615522141 Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric
5/1/21 0.1199460903 1.1199460903 0.0702536758 1.0702536758 0.009487666 1.009487666 -0.0484848485 0.9515151515 0.0590330804 1.0590330804 0.015546972 0.1199127903 1.1199127903 0.0702203758 1.0702203758 0.009454366 1.009454366 -0.0485181485 0.9514818515 0.0589997804 1.0589997804 mean (monthly) 0.0189119895 0.0174047862 0.0188883978 0.0173813072 0.0031168425 0.002192224 0.0030932508 0.0021686732 0.0061458758 0.0043371072 0.0061222842 0.0043133794 0.0048063494 0.0027084287 0.0047827578 0.0026843327 -0.0012673387 -0.0027985546 -0.0012909304 -0.0028223353
6/1/21 0.0015042318 1.0015042318 -0.0172977815 0.9827022185 0.030075188 1.030075188 -0.0106157113 0.9893842887 -0.0838538703 0.9161461297 0.025728583 0.0014792318 1.0014792318 -0.0173227815 0.9826772185 0.030050188 1.030050188 -0.0106407113 0.9893592887 -0.0838788703 0.9161211297 mean (annualised) 0.2521030435 0.2300572253 0.2517551967 0.2297166305 0.038049989 0.0266262031 0.037757068 0.0263367414 0.0762952324 0.0533049041 0.0759924334 0.0530063271 0.059225552 0.0329896907 0.0589271582 0.0326918457 -0.0151025057 -0.033070541 -0.0153816478 -0.03334721
7/1/21 -0.0022028737 0.9977971263 0.0130439425 1.0130439425 0.0346715328 1.0346715328 -0.0150214592 0.9849785408 0.0165223442 1.0165223442 0.026021735 -0.0022195737 0.9977804263 0.0130272425 1.0130272425 0.0346548328 1.0346548328 -0.0150381592 0.9849618408 0.0165056442 1.0165056442 standard deviation(monthly) 0.0573002017 0.0573002017 0.0451016249 0.0451016249 0.0451016249 0.0451016249 0.0451002259 0.0451002259 0.0637340658 0.0637340658 0.0637360715 0.0637360715 0.0688328621 0.0688328621 0.0688407381 0.0688407381 0.0577473799 0.0577473799 0.0577501664 0.0577501664
8/1/21 0.0047165177 1.0047165177 0.0797133975 1.0797133975 -0.0511463845 0.9488536155 0.1089324619 1.1089324619 0.0771414384 1.0771414384 0.015986587 0.0047082177 1.0047082177 0.0797050975 1.0797050975 -0.0511546845 0.9488453155 0.1089241619 1.1089241619 0.0771331384 1.0771331384 standard deviation(annualised) 0.1984937211 0.1984937211 0.1562366115 0.1562366115 0.1562366115 0.1562366115 0.1562317655 0.1562317655 0.2207812803 0.2207812803 0.2207882282 0.2207882282 0.2384440288 0.2384440288 0.238471312 0.238471312 0.2000427918 0.2000427918 0.2000524447 0.2000524447
9/1/21 0.0420495293 1.0420495293 -0.0594345319 0.9405654681 -0.0650557621 0.9349442379 0.1139489194 1.1139489194 -0.0574850778 0.9425149222 -0.013284813 0.0420412293 1.0420412293 -0.0594428319 0.9405571681 -0.0650640621 0.9349359379 0.1139406194 1.1139406194 -0.0574933778 0.9425066222 sharp ratio 1.6113713314 1.4703124206 0.2416734389 0.1685748175 0.3441869797 0.2400776866 0.2471037614 0.137089218 -0.0768880769 -0.1666923395
10/1/21 0.0033547205 1.0033547205 0.0241649494 1.0241649494 -0.013916501 0.986083499 -0.0564373898 0.9435626102 -0.03227436 0.96772564 0.003963987 0.0033214205 1.0033214205 0.0241316494 1.0241316494 -0.013949801 0.986050199 -0.0564706898 0.9435293102 -0.03230766 0.96769234
11/1/21 -0.1098586167 0.8901413833 0.0209658199 1.0209658199 0.0221774194 1.0221774194 -0.0542056075 0.9457943925 0.0719537252 1.0719537252 0.024484383 -0.1098919167 0.8901080833 0.0209325199 1.0209325199 0.0221441194 1.0221441194 -0.0542389075 0.9457610925 0.0719204252 1.0719204252
12/1/21 0.0839235888 1.0839235888 -0.0523811321 0.9476188679 -0.0256410256 0.9743589744 -0.0098814229 0.9901185771 -0.0688388535 0.9311611465 0.027894621 0.0838735888 1.0838735888 -0.0524311321 0.9475688679 -0.0256910256 0.9743089744 -0.0099314229 0.9900685771 -0.0688888535 0.9311111465
1/1/22 -0.0718812079 0.9281187921 -0.1044647595 0.8955352405 -0.0060728745 0.9939271255 -0.0459081836 0.9540918164 -0.0944488342 0.9055511658 -0.042436514 -0.0719395079 0.9280604921 -0.1045230595 0.8954769405 -0.0061311745 0.9938688255 -0.0459664836 0.9540335164 -0.0945071342 0.9054928658
2/1/22 -0.0029869747 0.9970130253 -0.0014211446 0.9985788554 0.0692464358 1.0692464358 0.0606694561 1.0606694561 0.0310866956 1.0310866956 0.020376716 -0.0030452747 0.9969547253 -0.0014794446 0.9985205554 0.0691881358 1.0691881358 0.0606111561 1.0606111561 0.0310283956 1.0310283956
3/1/22 0.1317140823 1.1317140823 0.0314254275 1.0314254275 0.019047619 1.019047619 0.0276134122 1.0276134122 0.0498730882 1.0498730882 0.071465929 0.1315723823 1.1315723823 0.0312837275 1.0312837275 0.018905919 1.018905919 0.0274717122 1.0274717122 0.0497313882 1.0497313882 Jan 2022- Dec 2022 CBA CLS HVN QAN WOW
4/1/22 -0.0178689615 0.9821310385 0.0192056465 1.0192056465 -0.0485981308 0.9514018692 0.0748560461 1.0748560461 0.0335480426 1.0335480426 -0.003750407 -0.0182106615 0.9817893385 0.0188639465 1.0188639465 -0.0489398308 0.9510601692 0.0745143461 1.0745143461 0.0332063426 1.0332063426 Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return Raw returns Excess return
5/1/22 0.0046207549 1.0046207549 -0.0053787086 0.9946212914 -0.1394891945 0.8605108055 -0.0160714286 0.9839285714 -0.1002336069 0.8997663931 -0.016052239 0.0037874549 1.0037874549 -0.0062120086 0.9937879914 -0.1403224945 0.8596775055 -0.0169047286 0.9830952714 -0.1010669069 0.8989330931 Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric Arithmetic Geometric
6/1/22 -0.1339594085 0.8660405915 -0.0101901524 0.9898098476 -0.1529680365 0.8470319635 -0.1887477314 0.8112522686 0.0274169104 1.0274169104 -0.064532986 -0.1352927085 0.8647072915 -0.0115234524 0.9884765476 -0.1543013365 0.8456986635 -0.1900810314 0.8099189686 0.0260836104 1.0260836104 mean (monthly) 0.0048448453 0.0013106412 0.003480962 -0.0000544989 0.0002546438 -0.000852451 -0.0011092395 -0.0022091334 -0.0119172543 -0.0148131828 -0.0132811377 -0.0161759906 0.0198168565 0.0152813195 0.0184529732 0.0139201015 -0.0088428712 -0.0103225463 -0.0102067545 -0.0116901995
7/1/22 0.1149590656 1.1149590656 0.0772318373 1.0772318373 0.115902965 1.115902965 0.0201342282 1.0201342282 0.0539326435 1.0539326435 0.045359398 0.1132340656 1.1132340656 0.0755068373 1.0755068373 0.114177965 1.114177965 0.0184092282 1.0184092282 0.0522076435 1.0522076435 mean (annualised) 0.0597126236 0.0158415644 0.0425806243 -0.0006537906 0.0030600088 -0.0101815871 -0.0132299668 -0.026189863 -0.133996223 -0.1639676113 -0.1482323059 -0.177740304 0.2655119005 0.1996007984 0.2453509725 0.1804423968 -0.101102635 -0.1170743813 -0.1158339612 -0.1316051792
8/1/22 -0.0327478029 0.9672521971 0.0127657088 1.0127657088 0.0217391304 1.0217391304 0.1666666667 1.1666666667 -0.0381130064 0.9618869936 0.031052961 -0.0346728029 0.9653271971 0.0108407088 1.0108407088 0.0198141304 1.0198141304 0.1647416667 1.1647416667 -0.0400380064 0.9599619936 standard deviation(monthly) 0.088779283 0.088779283 0.0488214216 0.0488214216 0.0488214216 0.0488214216 0.048637937 0.048637937 0.0779160066 0.0779160066 0.0778567052 0.0778567052 0.098820726 0.098820726 0.0986920525 0.0986920525 0.0560948128 0.0560948128 0.0561516982 0.0561516982
9/1/22 -0.0694573092 0.9305426908 -0.0290250724 0.9709749276 -0.0449172577 0.9550827423 -0.0563909774 0.9436090226 -0.0592961762 0.9407038238 -0.045120922 -0.0717573092 0.9282426908 -0.0313250724 0.9686749276 -0.0472172577 0.9527827423 -0.0586909774 0.9413090226 -0.0615961762 0.9384038238 standard deviation(annualised) 0.3075404577 0.3075404577 0.1691223653 0.1691223653 0.1691223653 0.1691223653 0.1684867562 0.1684867562 0.2699089643 0.2699089643 0.2697035383 0.2697035383 0.3423250366 0.3423250366 0.3418792983 0.3418792983 0.1943181317 0.1943181317 0.1945151885 0.1945151885
10/1/22 0.1541345475 1.1541345475 -0.0159286302 0.9840713698 0.0297029703 1.0297029703 0.1633466135 1.1633466135 -0.027393254 0.972606746 0.035070981 0.1516762475 1.1516762475 -0.0183869302 0.9816130698 0.0272446703 1.0272446703 0.1608883135 1.1608883135 -0.029851554 0.970148446 sharp ratio 0.2517740587 -0.0038657847 -0.0785222954 -0.1554416716 -0.5496120178 -0.6590210314 0.7176537851 0.5277956217 -0.5955008557 -0.6765804781
11/1/22 0.0303783053 1.0303783053 0.0699870694 1.0699870694 0.0216346154 1.0216346154 0.0684931507 1.0684931507 0.0439128104 1.0439128104 0.086921542 0.0278283053 1.0278283053 0.0674370694 1.0674370694 0.0190846154 1.0190846154 0.0659431507 1.0659431507 0.0413628104 1.0413628104
12/1/22 -0.0487669474 0.9512330526 -0.0411514965 0.9588485035 -0.0282352941 0.9717647059 -0.0368589744 0.9631410256 -0.0263997671 0.9736002329 -0.026380256 -0.0514086474 0.9485913526 -0.0437931965 0.9562068035 -0.0308769941 0.9691230059 -0.0395006744 0.9604993256 -0.0290414671 0.9709585329
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