Date APP Total Return Total Return % FMF Total Return Tota Return % 21/12/2000 0.70 -0.171 -17%
Question:
Date | APP | Total Return | Total Return % | FMF | Total Return | Tota Return % |
21/12/2000 | 0.70 | -0.171 | -17% | 0.29 | 0.069 | 7% |
31/12/2001 | 0.58 | -0.017 | -2% | 0.31 | -0.065 | -6% |
31/12/2002 | 0.57 | 0.140 | 14% | 0.29 | 0.034 | 3% |
31/12/2003 | 0.65 | 0.569 | 57% | 0.30 | 0.867 | 87% |
31/12/2004 | 1.02 | 0.127 | 13% | 0.56 | 0.732 | 73% |
30/12/2005 | 1.15 | 0.035 | 3% | 0.97 | -0.010 | -1% |
29/12/2006 | 1.19 | -0.328 | -33% | 0.96 | -0.167 | -17% |
31/12/2007 | 0.80 | 0.100 | 10% | 0.80 | 0.062 | 6% |
31/12/2008 | 0.88 | 0.000 | 0% | 0.85 | -0.188 | -19% |
31/12/2009 | 0.88 | -0.125 | -13% | 0.69 | -0.420 | -42% |
31/12/2010 | 0.77 | 0.000 | 0% | 0.40 | 0.250 | 25% |
31/12/2011 | 0.77 | -0.078 | -8% | 0.50 | -0.200 | -20% |
31/12/2012 | 0.71 | -0.014 | -1% | 0.40 | 0.100 | 10% |
31/12/2013 | 0.70 | 0.000 | 0% | 0.44 | 0.432 | 43% |
31/12/2014 | 0.70 | 0.357 | 36% | 0.63 | 0.190 | 19% |
31/12/2015 | 0.95 | 0.105 | 11% | 0.75 | 0.067 | 7% |
31/12/2016 | 1.05 | 0.000 | 0% | 0.80 | 0.438 | 44% |
29/12/2017 | 1.05 | 0.429 | 43% | 1.15 | 0.826 | 83% |
31/12/2018 | 1.50 | 0.067 | 7% | 2.10 | 0.010 | 1% |
31/12/2019 | 1.60 | 0.062 | 6% | 2.12 | -0.005 | 0% |
31/12/2020 | 1.70 | -1.000 | -100% | 2.11 | -1.000 | -100% |
Compute, for each asset:
i. Total Returns
ii. Expected returns
iii. standard deviation
iv. Correlation Coefficient 10
2. Construct the variance-covariance matrix 10
3. Construct equally weighted portfolio and calculate Expected Return, Standard Deviation and Sharpe ratio. 10
4. Reconstruct equally weighted portfolio and calculate Expected Return, Standard Deviation and Sharpe ratio. 5
5. Use Solver to determine optimal risky portfolio. 5
6. Create hypothetical portfolios (commencing from Weight A=0 and weight B=100) 10
7. Calculate Expected return and Standard Deviation for all the above combinations 10
8. Graph the efficient frontier 10
9. Graph the optimal portfolio 5
10. Assuming that the investors prefers lower level of risk than what a portfolio of risky assets offer, introduce a risk free asset in the portfolio with a return of 3%
11. Using hypothetical weights (A= Portfolio of Risky Assets, B= 1 Risk Free Asset) calculate portfolio Expected Return and Standard Deviation 15
12. Graph the risk and returns - Capital Allocation Line.
Understanding Basic Statistics
ISBN: 9781111827021
6th Edition
Authors: Charles Henry Brase, Corrinne Pellillo Brase