The pre-pandemic period is March 1, 2019 to March 1, 2020 and the pandemic period is March 1, 2020 to March 1, 2021. Compute the following before and during the COVID-19 pandemic (also referred to as “crisis”).
1. Each stock’s annualized return, total risk (annualized standard deviation of daily returns), and Sharpe’s ratio; rank the five stocks based on these metrics separately before and during the crisis.
2. S&P 500’s annualized return, annualized standard deviation of daily returns, and Sharpe’s ratio.
3. The annualized return, annualized standard deviation of daily returns, and Sharpe’s ratio of the portfolio equally invested in the five selected stocks, and the portfolio’s correlation with the S&P 500 index.