Mean historical return and volatility for a 25 blue chips for long-term and short-term time intervals.
As all of you know, the historical expected return and volatility of stock is a very important characteristics of the stock stability and profitability. Here is the comparison of these values for 25 blue chips for two historical data intervals, 11 years and 1 month. 11 years interval shows long-term
stock price tendencies, and 1 month interval exhibits stock price tendency in the near past.
This is a table for 25 blue chips and their expected return and volatility for 11 years of the historical data from 2013-01-02 to 2024-06-13 ordered by the expected return.
| symbol | expected return | volatility |
|---|---|---|
| MSFT | 0.274 | 0.266 |
| AAPL | 0.233 | 0.283 |
| UNH | 0.213 | 0.25 |
| MA | 0.209 | 0.262 |
| NOC | 0.173 | 0.234 |
| HD | 0.16 | 0.234 |
| LMT | 0.149 | 0.216 |
| ABBV | 0.146 | 0.264 |
| JPM | 0.137 | 0.261 |
| ORCL | 0.13 | 0.264 |
| KR | 0.125 | 0.273 |
| AXP | 0.123 | 0.293 |
| NKE | 0.119 | 0.279 |
| CAT | 0.116 | 0.283 |
| GS | 0.113 | 0.274 |
| HON | 0.112 | 0.219 |
| MRK | 0.109 | 0.209 |
| SBUX | 0.098 | 0.258 |
| WMT | 0.097 | 0.201 |
| MCD | 0.095 | 0.194 |
| PG | 0.08 | 0.18 |
| JNJ | 0.065 | 0.175 |
| KO | 0.046 | 0.176 |
| INTC | 0.031 | 0.32 |
| CVX | 0.029 | 0.281 |
As you can see, the leader of the table is the Microsoft stocks with their 0.274 yearly expected return and 0.266 volatility.
The next table is the same one, but for the last month of the data, from 2024-05-14 to 2024-06-14 ordered by the expected return.
| symbol | expected return | volatility |
|---|---|---|
| ORCL | 3.613 | 0.512 |
| AAPL | 3.21 | 0.294 |
| WMT | 2.648 | 0.266 |
| MSFT | 1.001 | 0.177 |
| SBUX | 0.81 | 0.279 |
| ABBV | 0.625 | 0.213 |
| HON | 0.344 | 0.149 |
| HD | 0.235 | 0.219 |
| NKE | 0.077 | 0.163 |
| MRK | 0.075 | 0.174 |
| PG | 0.074 | 0.136 |
| KO | -0.095 | 0.113 |
| LMT | -0.197 | 0.144 |
| INTC | -0.2 | 0.272 |
| MA | -0.216 | 0.105 |
| GS | -0.262 | 0.171 |
| UNH | -0.316 | 0.224 |
| JPM | -0.361 | 0.243 |
| JNJ | -0.363 | 0.174 |
| MCD | -0.526 | 0.198 |
| CVX | -0.551 | 0.183 |
| AXP | -0.56 | 0.17 |
| KR | -0.655 | 0.124 |
| CAT | -0.71 | 0.184 |
| NOC | -0.721 | 0.141 |
As you can see, the leader of the table for one month is the Oracle stocks with their prominent 3.613 yearly expected return and 0.512 volatility. It means that the Oracle stock prices for the last month raised quite steadily.
And finally, here is the performance of the portfolio consisted of these blue chips.
Optimization were performed by maximization of the Sharpe ratio, for 11 years of historical data.
| expected return | 0.224 |
|---|---|
| volatility | 0.188 |
| Sharpe ratio | 1.063 |
| Allocation sum | 10000.00 |
| Leftover | 128.49 |
All the calculations were made with the help of the website for portfolio optimization
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