For the group of stocks assigned to you, form the minimum variance frontier. What is the minimum attainable annualised standard deviation of the portfolio (using the 2014-2018 data pool): 

Q2: at an annualised average return level of 0% 

Q3: at an annualised average return level of 15%  

Q4: at an annualised average return level of 30% 

  

Transcribed Image Text:

You are evaluating a portfolio of U.S. equities drawn from the S&P500. The five stocks in your portfolio have the FactSet identifiers as follows: Group A Group A Factset stock identifier AXP-US BLK-US HD-US IBM-US MCD-US SP50 Assume the annualised risk-free rate is 3% for this assessment The monthly return data can be found in the Excel "Data pool_2023 T2" on Moodle STOCK1 STOCK2 STOCK3 STOCK4 STOCK5 S&P500 NOTE: Annualized average return = 12 x Average monthly return Annualized variance = 12 x variance of monthly returns Annualized standard deviation = SQRT (Annualized variance) = SQRT (12) standard deviation of monthly returns Annulaised Sharpe ratiop = Annualized average return-Annuliazed Risk Free rate Annualized standard deviation, You are evaluating a portfolio of U.S. equities drawn from the S&P500. The five stocks in your portfolio have the FactSet identifiers as follows: Group A Group A Factset stock identifier AXP-US BLK-US HD-US IBM-US MCD-US SP50 Assume the annualised risk-free rate is 3% for this assessment The monthly return data can be found in the Excel "Data pool_2023 T2" on Moodle STOCK1 STOCK2 STOCK3 STOCK4 STOCK5 S&P500 NOTE: Annualized average return = 12 x Average monthly return Annualized variance = 12 x variance of monthly returns Annualized standard deviation = SQRT (Annualized variance) = SQRT (12) standard deviation of monthly returns Annulaised Sharpe ratiop = Annualized average return-Annuliazed Risk Free rate Annualized standard deviation,