CASH COW

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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
https://asset-master.net/
The recommended browser is Firefox.

Welcome to discuss!