Download projecta - Ka

Dr. Ka-fu Wong
ECON1003
Analysis of Economic Data
Ka-fu Wong © 2003
Project A - 1
Briefing notes about Project A
GOALS
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Overview of project requirements
Tips on team work, presentation and writing
Assessment scheme
Possible topics
Demonstrate a five-minute presentation
Walk through step by step how the fiveminute presentation was prepared.
Ka-fu Wong © 2003
Project A - 2
Projects
30%
The project is intended to expose you to
the use of statistics in real problems of
your choice. The presentations and
project reports also help improve and test
our understanding of the subject. .
It allows us to sharpen our skills in statistical
analysis, oral presentations, written presentations,
and teamwork.
Ka-fu Wong © 2003
Project A - 3
Team work:
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Students will be randomly assigned into groups of two to
work on two projects. The team as a whole is responsible
for the project analysis and implementation.
Individual team members take turns writing the project
reports and giving the presentations. The person who gives
the oral report cannot be the person who authors the
written report.
Thus each project receives three grades, an analysis grade
that is given to every team member, a writing grade that is
given to the report's author, and a presentation grade that is
given to the presenter.
Ka-fu Wong © 2003
Project A - 4
Ground rules for team work
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Be truthful.
You don’t have to like people to work with them.
Affirm collective responsibility.
Develop and practise listening skills.
Participate fully.
Everyone takes a fair share of the work.
Working to strengths can benefit the group.
Don’t always work to strengths, however!
Keep good records.
Respect group deadlines.
Cultivate philanthropy.
Value creativity and off-the-wall ideas.
Work systematically.
Ka-fu Wong © 2003
Project A - 5
Five-minute Presentations:
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Ka-fu Wong © 2003
These presentations will be Powerpoint
based.
Please hand in a softcopy of your
Powerpoint file, via email.
Presentation will be video-recorded so
that presenters has a chance to see their
own performance.
Your performance will be graded by your
peers and TA.
The instructor will randomly check the
grading and videos to make sure that the
grading has been fair.
In case of grade disputes, we can sit down
to view the tape together.
Project A - 6
Assessing Presentations
 Clarity: Do we understand everything the speaker said? Are
at least the main points of the presentation clear?
 Content: Is the content appropriate for this assignment?
Does the analysis use the appropriate statistical tools? And
use it correctly? Is the level appropriate? Is the
information accurate?
 Organization: Is the talk effectively organized? Is it clear
how one idea or fact followed from another? Is there a
clear logical progression or structure to the talk?
 Delivery: Does the speaker talk clearly and directly to the
audience? Does the speaker seem adequately confident
and familiar with the material? Are the visual aids used
effectively?
 Conciseness: Does the speaker express ideas concisely?
Too concisely? Does the speaker finish within the alloted
time?
Ka-fu Wong © 2003
Project A - 7
Tips about presentations
 Must use Powerpoint for presentations.
 Do not use too many animations.
 Use colors to highlight your analysis.
 Understand the materials well.
 Try not to rely on notes: audiences have more confidence
in speakers who don't rely much on notes.
 Practise, practise, practise:
 To get a feeling about timing.
 To get rid of some nervous habits (fiddling with a button,
putting a hand in a pocket, saying “um”).
 Trian our eye contact with audience.
 Do we understand everything the speaker said? Are at
least the main points of the presentation clear?
Ka-fu Wong © 2003
Project A - 8
Three to five page Written reports:
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Ka-fu Wong © 2003
No more than five pages.
Please hand in a softcopy of your report, via email.
All papers should be easy to read, i.e. typed (word
processed) in a standard 12pt font with reasonable
margins and 1.5 to double spaced.
When writing up the project, in addition to your
discussion of results, you should include a clear
description of the experiment, including how the
data was collected, and a summary of steps of your
analysis. The collected data and questionnaire (if
any) should be included in a data appendix.
The TA (and possibly your peers) will be grading it.
The instructor will randomly check the grading to
make sure that the grading has been fair.
Project A - 9
Assessing Written Report
 Clarity: Do we understand everything in the report? Are at
least the main points of the report clear? Does the report
give us enough information for us to repeat the analysis
ourselves?
 Content: Is the content appropriate for this assignment?
Does the analysis use the appropriate statistical tools? And
use it correctly? Is the level appropriate? Is the
information accurate?
 Organization: Is the paper effectively organized? Is it clear
how one idea or fact followed from another? Is there a
clear logical progression or structure in the paper?
 Grammar and spelling: Are there any misspellings or major
grammatical errors so as to impede reader’s understanding?
 Format: Is the report double spaced? Does it has
paragraph structure? Correct punctuation?
Ka-fu Wong © 2003
Project A - 10
Tips about writing
 Structure of the report:
 Title page: one- to two-line simple title. Include the
names and student ids of the group members.
 Introduction: State the aims and terms fo reference of
the report and any useful background information.
3 to 5  Data description: How we collect the raw data? What
pages. are the raw data? Do we transform the data before use?
 Results: descriptive statistics, tables, plots and an
analysis of them.
 Conclusion: Whatever conclusion we can draw from the
analysis.
 Appendices: Questionnaire form. List of data. All
appendices must be referred to in the main body of the
report.
 References: Books and websites referred in the report.
Ka-fu Wong © 2003
Project A - 11
Tips about writing
 Have a good understanding of the subject to be covered.
Read thoroughly and widely, discuss the subject with
others and sometimes just sit and think.
 Sort your ideas out. If you have ideas clear in your mind
then usually your written work will be clear.
 Think about your audience. Your style of writing should
affect the way you write and what you include in the report.
 Produce a plan so that you put your ideas down in a logical
sequence. Nothing confuses a reader more than disjointed
arguments. You can probably fit your ideas into four or five
main headings.
Ka-fu Wong © 2003
Project A - 12
Tips about writing
 Must be typed in Microsoft Words.
 Use the require format. Standard 12pt font with reasonable
margins and 1.5 to double spaced.
 Write a draft - you are unlikely to get it right first time. If
you have time put it aside for a while and go back and reread it - you will be surprised how different it looks.
 Write the final report. Remember to acknowledge sources
of information and quotes (references and bibliography).
 Proof read it. Don’t rely on your spell checker - their are
sum flings a spell chequer will knot pick up!!
 Strunk and White: The elements of style is a good
handbook on writing.
Ka-fu Wong © 2003
Project A - 13
Tips about writing
Bibliography/References Style.
 This section should be arranged alphabetically by author
then by URL if it doesn't have an author (alphabetically).
 If the reference takes up more than one line the 2nd and
proceeding lines should all be indented but not the first line!
Ka-fu Wong © 2003
Project A - 14
Tips about writing
Bibliography/References Style.
 When citing a work in the body of the text put the
authors name and the publication date in parenthesis
near the end of the sentence with the referenced
material. This is an example.
 The birth timing can be viewed as a way of giving a
capital endowment to the next generation by the
parents, akin to the human capital theory of Gary
Becker (1964). This view is of course consistent
with the news report cited above. Thus, a simple
modification of the standard returns-to-education
methodology (e.g. Mincer, 1974; Psacharopoulos,
1994; Bennell, 1998; and Wei et al., 1999) is
appropriate to verify empirically whether this
superstition is correct or not.
Ka-fu Wong © 2003
Project A - 15
Tips about writing
Bibliography/References Style.
 General Style
Author. Year. Title. Secondary Title, Secondary Author.
Place Published: Publisher, pp. Pages.
 Book
Author. Year. Title, Edition, Volume, Series Editor, City:
Publisher, pp. Pages.
 Book Section
Author. Year. Section Title. Book Title, Editor, ed. City:
Publisher, pp. Pages.
 Journal Article
Author Year. Title. Journal Volume, Pages.
Ka-fu Wong © 2003
Project A - 16
Tips about writing
Bibliography/References Style.
 WEB sites
include the URL (e.g. http://www.albany.edu)
And the name of the School or University /Department/
Faculty/ or Company/organization that runs the site.
If they have references you should site the originals by
looking the appropriate one up in the library.
 Handouts
Instructor (last name first), Handout Title, Course Number,
Semester & Year, School, pp. pages.
Ka-fu Wong © 2003
Project A - 17
An Element of Peer Assessment
 Peer assessment helps us learn:
 On presentation: Being critical on someone else’s
presentation, peer assessment help alert us to good and
bad practice in presentations. It help us develop
75%
awareness of the style and process dimensions of
presentations.
 On writing report: Being critical on someone else’s work,
peer assessment help alert us to good and bad practice
in report writing. It help us develop awareness of the
importance of structure, coherence and layout in reports.
25%  TA assessment
 Instructor will make sure that the grading has been fair –
by random inspections.
Ka-fu Wong © 2003
Project A - 18
Need a second chance?
 Students can choose to work on a second project if they
feel that their second project can improve a lot over their
first project.
 However, they must work on a different project.
 All team members must agree to do so.
 Their grades on project A will be based solely on the last
presentations and reports.
 Most students would not need a second chance if they
follow our tips.
Ka-fu Wong © 2003
Project A - 19
Project topics:
Two types of projects.
 Type A will involve simple plots of data, summary
statistics, and analysis – in the first half of the
semester.
 Type B will involve estimating the relationship
among variables and testing their significance – in
the second half of the semester.
 The team is free to choose among a pool of projects
(supplied by the instructor, to be announced later).
You are encouraged to choose topics outside this
pool. However, if you have different project topics,
you must get approval from your instructor.
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Ka-fu Wong © 2003
Project A - 20
Examples of Type A Project topics:
On Finance
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Randomly select a sample of stock mutual funds, and
record their total return during the preceding calendar
year. Summarize your data with a box plot and histogram,
and compare the mean and median return for the funds in
your sample to the return for the Hang Seng Index that
year. Also calculate the fractions of your sample within 1
and 2 standard deviations of the sample mean.
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Visit the library and ask the librarian (reference counter) to
help locate the electronic data series of HK stock prices.
Collect the prices of two stocks, one over 10 dollars and
one below 10 dollars. Compute their mean and standard
deviations of daily percentage change in prices. Based on
the plots and these summary statistics, which stock is more
risky? Which stock is more profitable to hold? (using
Sharpe Ratio as a measure?)
Ka-fu Wong © 2003
Project A - 21
Examples of Type A Project topics:
On Finance
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Collect the daily prices of Shanghai A Shares in 2002.
Compute their Sharpe Ratios. Summarize the data.
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Collect the daily prices of Shanghai B Shares in 2002.
Compute their Sharpe Ratios. Summarize the data.
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Collect the daily prices of Chinese stocks that are listed
under both Shanghai A, Shanghai B. Compute their price
ratios between A and B. Summarize the data.
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Collect the share price of HSBC and its derivatives
(warrants, options, etc.) over time. Compute their ratio.
Summarize the data.
Ka-fu Wong © 2003
Project A - 22
Examples of Type A Project topics:
On International Finance
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Find the daily exchange rate for Yen/USD from 1996 to
2002. Compute the daily absolute changes of the exchange
rate. Split the sample into two (before 1998 and after
1998). Compute their mean and standard deviations. Is
the mean absolute change in the after 1998 within two
standard deviations of the before 1998 sample?
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Visit at least 30 foreign exchange shops (including banks).
Record the buy and sell exchange rate of RMB to HK
dollars. Based on simple plots and summary statistics, are
the buy and sell spread (difference between buy and sell
price) different between bank and non-bank foreign
exchange shops.
Ka-fu Wong © 2003
Project A - 23
Examples of Type A Project topics:
On International Finance
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Collect the IMF debt of different IMF member countries.
Compute the mean and variance. Is Thailand within the
two standard deviations? How about South Korea and
Argentina?
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Find the recent issue of Economist and Far Eastern
Economic Review. Copy the newsstand price listed on the
cover. Convert them into US dollars according to a recent
exchange rate. Is there any difference between the prices
of the two magazines.
Ka-fu Wong © 2003
Project A - 24
Examples of Type A Project topics:
On Public Finance
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Collect the government’s expenditure share on education
as a percentage of GDP in Hong Kong in the past twenty
years. Describe the data. Compute the mean and variance.
If there is a 10% cut in education spending, will the
expenditure share fall within the two standard deviations?
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Collect the government’s expenditure share on health care
as a percentage of GDP in Hong Kong in the past twenty
years. Describe the data. Compute the mean and variance.
If there is a 10% cut in health care spending, will the
expenditure share fall within the two standard deviations?
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Collect the contribution of land sales to government
revenue in Hong Kong (percentage) in the past twenty
years. Describe the data. Compute the mean and variance.
Ka-fu Wong © 2003
Project A - 25
Examples of Type A Project topics:
On Personal Finance
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Ask at least 30 HKU students how many credit cards they
own. Summarize the data. Ask another 30 CUHK students
how many credit cards they own. Compare that with the
HKU result.
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During Chinese New Year, all you have to say is “Gung Hay
Fat Choy,” for relatives a generation or more older to give
you some nice, crisp greenbacks in red envelopes called lai
see in Cantonese. Ask 50 HKU students how much lai see
they received this year. Summarize the data.
Ka-fu Wong © 2003
Project A - 26
Examples of Type A Project topics:
On Price Differentials
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Visit at least 30 shops / machines that provide instant
photos services, at least 10 near the Immigration
Department office and the China Travel Agency which
handle application for passports. Record their prices. Do
prices vary across locations? How?
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Visit at least 30 photo shops. Record the prices of 3R photo
print from films. Do prices vary across locations? How?
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Visit at least 30 shops that sell the same two models of
sport shoes. Record their prices. Compute the price ratio
between the two models. Plot the ratio against the price of
the cheaper model.
Ka-fu Wong © 2003
Project A - 27
Examples of Type A Project topics:
On Price Differentials
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Visit at least 30 bakery shops. Record the price of
“pineapple” and “chicken tail”. Also record whether they
have a policy of price reduction after certain hour.
Compute the means for the shops that has price reduction
policy and those without. Is the mean with price reduction
policy within the two standard deviations of the ones
without? (For interest: ask the shopkeepers what they do
with the unsold bread.)
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Visit at least 30 drug stores. Include at least 10 nonchained stores and at least 10 chained stores. Record the
price of one or more pain killers (e.g., Penadol). Compute
the mean for the non-chained stores. Is the mean of the
chained stores within the two standard deviations of the
non-chained? Is the mean of the non-chained stores within
the two standard deviations of the chained?
Ka-fu Wong © 2003
Project A - 28
Examples of Type A Project topics:
On Price Differentials
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Visit at least 30 small private clinics. Record the charge of
a typical visit to the doctors (say, due to a flu). Compute
the mean and standard deviations of the charges. Are the
charges of large hospitals within the two standard
deviations of the mean of the smaller private clinics?
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Visit at least 30 shops selling fresh orange juice. Record
the price of a cup of fresh orange juice. Compute the
mean and standard deviations of the prices. Are the
prices of non-fresh orange juice inside the two standard
deviation of the mean of the fresh orange juice?
Ka-fu Wong © 2003
Project A - 29
Examples of Type A Project topics:
On Price Differentials
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Browse through www.amazon.com (US Amazon) and
www.amazon.com.uk (UK Amazon) for the same 30 books.
Record their prices. Compute the mean and variance of
the prices from these two shops. Is the mean price of the
US Amazon within the two standard deviation of that of
UK Amazon. (Remember to convert to the same currency
for comparison.)
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Visit at least 30 soft drink vending machines. Record
their prices. Summarize the data. Do prices vary across
locations? How?
Ka-fu Wong © 2003
Project A - 30
Examples of Type A Project topics:
On Price Differentials
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Visit at least 30 restaurants. Record the price of a cup of
milk tea. Describe the data.
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Visit at least 30 restaurants. Record the price of a set
lunch and what’s included. Compute the means and
standard deviations for set lunches with more than three
items included and set lunches with less than three items
included. Are the mean of those with more than three
items within the two standard deviations of those with
less than three items? And vice versa?
Ka-fu Wong © 2003
Project A - 31
Examples of Type A Project topics:
On Price Differentials
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Find the daily wholesale price of fresh chicken in 2002.
Compute the means and standard deviations of chicken
for the year and for the month that contains Chinese New
Year. Are the mean of Chinese New Year month within
the two standard deviations of the year?
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Visit at least 30 shops selling vegetables from two
different districts. Include at least 10 shops from each
district. Record the price of selected vegetable. Compute
their means and standard deviations. Is the mean of the
first district within two standard deviations of the second
district? And vice versa?
Ka-fu Wong © 2003
Project A - 32
Examples of Type A Project topics:
On Price Differentials
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Go to a local store that sells CDs and record the prices of
at least 50 recent CDs. Also record the total playing time
for those CDs that display this information. Use a
histogram to summarize each of these data sets. For
those CDs that show the playing times, make a scatter
diagram with the playing time on the horizontal axis and
the price on the vertical axis.
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Choose two major grocery stores in your area, and try to
determine which has lower prices on a sample of 30
commonly purchased items.
 Two 7-eleven stores?
Ka-fu Wong © 2003
Project A - 33
Examples of Type A Project topics:
On Price Differentials
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Collect data from at least 10 private or public day care
centers on the hourly cost of day care for a 4-year-old
child who will be in day care for at least 10 hours per
week. Summarize these data in the form of a report to
parents who may want day care for their child.
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Browse through an on-line bookstore that sells English
books and an on-line bookstore (in China?) that sells a
translated (Chinese) version of the same book. Record
their prices. Compute the ratio of their prices. Summarize
the data.
Ka-fu Wong © 2003
Project A - 34
Examples of Type A Project topics:
On auction
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Find the auction price of flower market sites of Victoria
Park for the past two years. Compute their mean and
standard deviations. Is the mean in the second year within
two standard deviations of the first year?
 Land auction?
 License plate auction?
 Online auction of computer parts / photographic items?
Ka-fu Wong © 2003
Project A - 35
Examples of Type A Project topics:
On Macroeconomics
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Collect the GDP per capita data of OECD countries.
Compute their mean and variance. Is China’s GDP per
capita within the two standard deviations? Is Hong Kong’s
GDP per capita within the two standard deviations?
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Collect the contribution of manufacturing sector to GDP in
Hong Kong (percentage) in the past twenty years. Describe
the data. Compute the mean and variance.
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Collect the consumer price index (All) in Hong Kong.
Compute the annual inflation rates. Summarize the data.
 Unemployment rate?
Ka-fu Wong © 2003
Project A - 36
Examples of Type A Project topics:
On Labor Economics / Demography
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Find HK population for different age groups over time.
Compute the dependency ratio = [population under age 15
and above age 65] / [working-age population (those aged
15-64)]. Split the sample into two (first half and second
half). Compute their mean and standard deviations. Is the
mean dependency ratio in the second half within two
standard deviations of the first half sample?
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Find HK labor force participation rates by gender over time.
Compute ratio of female labor force participation rate to
that of male. Split the sample into two (first half and
second half). Compute their mean and standard deviations.
Is the mean ratio in the second half within two standard
deviations of the first half sample?
Ka-fu Wong © 2003
Project A - 37
Examples of Type A Project topics:
On Labor Economics / Demography
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Ask at least 30 employed person (with a full-time job) how
many hours do they work in a week on average.
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Collect the number of suicide cases in Hong Kong, by year.
Summarize the data.
 Number of injury
 Number of robbery
Ka-fu Wong © 2003
Project A - 38
Examples of Type A Project topics:
Miscellaneous
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Randomly ask 50 HKU students the average amount of time
per week they spent on studying in the semester before the
survey. Summarize the data in a plot. Compute the means
and standard deviations. Ask your friends from different
local universities the same question. Are they within the
two standard deviations from the mean at HKU?
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Randomly ask 50 HKU students the amount of money spent
on the last hair cut. Compute the means and standard
deviations. Ask your friends from different local
universities the same question. Are they within the two
standard deviations from the mean at HKU?
Ka-fu Wong © 2003
Project A - 39
Examples of Type A Project topics:
Miscellaneous
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Find the temperature in Hong Kong over time. Summarize
these data with a histogram and calculate the fraction of
the readings that are within 1 and 2 standard deviations of
the sample mean. Split the sample into two (first half and
second half). Compute their mean and standard
deviations. Is the mean temperature in the second half
within two standard deviations of the first half sample?
What can we conclude about HK’s temperature over time?
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Find the all the Mark-Six Jackpot in year 2001 and 2002
(available from on-line). Summarize the data with a plot.
Compute the mean of the Jackpot for 2001 and 2002. Are
the mean of 2002 within the two standard deviations of
2001? And vice versa?
Ka-fu Wong © 2003
Project A - 40
Examples of Type A Project topics:
Miscellaneous

Randomly ask 50 HKU students and 50 CUHK students their
grade point averages in the most recent semester.
Compute their means and standard deviations. Is the
CUHK mean within the two standard deviations from the
mean at HKU?
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Randomly ask 50 HKU students how much sleep they get
on the night before the survey. Compute the means and
standard deviations. Is your sleeping hours within the two
standard deviations from the mean?
Ka-fu Wong © 2003
Project A - 41
Examples of Type A Project topics:
Miscellaneous
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Randomly ask 50 HKU students (exclude those who live in
dorms) the amount of time spent on traveling to school by
HKU students. Compute the means and standard
deviations. Ask your friends from different local
universities the same question. Are they within the two
standard deviations from the mean at HKU?
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Find the all the Mark-Six Winning numbers in year 2001
and 2002. Sum the six numbers. Compute the mean of the
sums for 2001 and 2002. Are the mean of 2002 within the
two standard deviations of 2001? And vice versa?
Ka-fu Wong © 2003
Project A - 42
Examples of Type A Project topics:
Miscellaneous

Find the air quality in Hong Kong over time. Summarize
these data with a histogram and calculate the fraction of
the readings that are within 1 and 2 standard deviations of
the sample mean. Split the sample into two (first half and
second half). Compute their mean and standard
deviations. Is the mean air quality in the second half
within two standard deviations of the first half sample?
What can we conclude about HK’s air quality over time?
 Rain fall in Hong Kong over time.
Ka-fu Wong © 2003
Project A - 43
Examples of Type A Project topics:
Miscellaneous

Find the quantity of water we buy from mainland China and
the usage of water per capita in Hong Kong over time. Split
the sample into two (first half and second half). Compute
their mean and standard deviations. Is the water usage
per capital in the second half within two standard
deviations of the first half sample? What can we conclude
about HK’s excess water supply and the associate
additional cost over time?
Ka-fu Wong © 2003
Project A - 44
Frequently asked questions
Student: I do not want to do a survey. I prefer to
download data. None of the topics interests me.
What can I do?
Teacher: Try to look at the databases that are
available at our library and on the internet. A
useful guide is the Powerpoint file
datacorner.ppt. Some of the data might interest
you. You can also ask me for additional topics.
Ka-fu Wong © 2003
Project A - 45
The Performance of Buy-and-Hold strategy
of 33 Individual HSI constituent stocks
Ka-fu WONG (Presenter)
&
Alice LEE (Writer)
Ka-fu Wong © 2003
Project A - 46
Buy and hold strategy
 Buy the stock at the beginning of the year.
 Hold the stock until the end of the year.
Ka-fu Wong © 2003
Project A - 47
Performance measure
 Sharpe Ratio:
 Mean daily returns / standard deviation of
daily returns
 Assume the benchmark portfolio returns to be
zero.
 Let Dt be the daily return on the stock
Sh 
D
D
(t 1 Dt ) / T
T

2
(
D

D
)
t 1 t
T
T 1
Ka-fu Wong © 2003
Project A - 48
Data sources and description
 Prices of 33 Hang Seng Index constituent stocks
from DataStream.
 Data coverage: 1 January to 31 December 2002
 262 observations of prices per stock, Pt.
 261 observations of returns per stock, Dt.
 Dt = log(Pt+1) – log( Pt)
Ka-fu Wong © 2003
Project A - 49
Descriptive statistics
# observations
33
On average, HSI
constituent stocks had
a negative Sharpe Ratio
or mean returns.
mean
-0.035016
variance
0.002034
standard deviation
0.045095
minimum
-0.107579
NEW WORLD DEV
maximum
0.066542
CNOOC LTD.
range
0.174122
1st quartile
-0.064663
median
-0.042589
3rd quartile
-0.010363
interquartile range
0.054301
Skewness
0.508871
Ka-fu Wong © 2003
At least 75% of stocks
had a negative Sharpe
ratios or mean returns
Right skewed
Project A - 50
Box plot of the Sharpe Ratios
WHEELOCK & CO.
-0.042589
BANK OF EAST ASIA
CHINA RES.ENTREP.
-0.010363
-0.064663
CNOOC LTD.
0.066542
NEW WORLD DEV.
-0.107579
-0.15
PCCW
HSBC
Ka-fu Wong © 2003
-0.1
-0.05
0
0.05
0.1
-0.088825
-0.0217665
Project A - 51
Construction of Frequency distribution
 “ 2 to the k rule” suggests we should have 6
classes for a sample of 33 observations.
 25=32; 26=64.
 Class width should be larger than 0.029 (range/6)
 A convenient number is 0.35.
 After we decided on this two numbers, we let
Excel to decide on the class limits and hence the
plot of histogram.
Ka-fu Wong © 2003
Project A - 52
Frequency distribution
Data
lower
cumulative
upper
midpoint
width
frequency
percent
frequency
percent
-0.140
<
-0.105
-0.123
0.035
1
3.0
1
3.0
-0.105
<
-0.070
-0.088
0.035
7
21.2
8
24.2
-0.070
<
-0.035
-0.053
0.035
11
33.3
19
57.6
-0.035
<
-0.000
-0.018
0.035
6
18.2
25
75.8
0.000
<
0.035
0.018
0.035
6
18.2
31
93.9
0.070
0.053
0.035
2
6.1
33
100.0
33
100.0
0.035
Ka-fu Wong © 2003
Project A - 53
Frequency distribution of the Sharpe Ratios
35
30
Percent
25
20
15
10
5
0.
07
0
0.
03
5
0.
00
0
-0
.0
35
-0
.0
70
-0
.1
05
-0
.1
40
0
Sharpe Ratio
Ka-fu Wong © 2003
Project A - 54
Negative versus Positive Sharpe Ratios
24%
76%
Negative Sharpe
Ka-fu Wong © 2003
Positive Sharpe
Project A - 55
Conclusion
 Year 2002 is a bad year to invest in stock. Over
75 percent stocks had negative returns. That is,
if an investor had randomly pick a stock among
the 33 Hang Seng Index constituents in the
beginning of the year and sell it at the end of the
year, he or she is very likely to end up with a loss
(75% of the chance).
Ka-fu Wong © 2003
Project A - 56
The Performance of Buy-and-Hold strategy of 33
Individual HSI constituent stocks
- End -
Ka-fu Wong © 2003
Project A - 57
Briefing notes about Project A
- END -
Ka-fu Wong © 2003
Project A - 58