1. ( Port 1) A portfolio is designed to gain exposure to US and international stocks and...
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1. ( Port 1) A portfolio is designed to gain exposure to US and international stocks and bonds by allocating 40% to SDS, 30% to TBT, and 30% to EEM. Compute the mean, standard deviation, skewness, kurtosis, and Sharpe Ratio of this portfolio and the three ETFs (SDS, TBT, and EEM). Sharpe Ratio is defined as the ratio of mean to standard deviation (assuming risk free rate is zero).
2. ( Port 2) A 130/30 trading strategy means shorting an asset up to 30% of the portfolio value and then taking the funds to long positions on other assets. Consider a 130/30 portfolio that is 70% SDS, -30% TBT,and 60% EEM. Compute the mean, standard deviation, skewness, and Sharpe Ratio of this portfolio. Compare this portfolio to the one in C., what do you observe?
3. ( Port 3) A portfolio is constructed by investing 60% in SPY and 40% in GBF. Compute the mean, standard deviation, skewness, and Sharpe Ratio of this portfolio and both SPY and GBF. Compare this portfolio to the one in C. and D., what do you observe? [Hint: How much return each fund can get for one unit of risk?]
The data mean, standard deviation, skewness, kurtosis, sharpe ratio for port 1, port 2, port 3 is below in the picture. so the question is.. What do you observe? compare 3 of the portfolio.. [Hint: How much return each fund can get for one unit of risk?]
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