Date Adj Close Price P n SPY Adj Close Price P n TLT 5 31 2017 235 858 120 4887 6 30 2017 237 3616 121 4428 7 31 2017 242 2404 120 6433 8 31 2017 242 9471 124 7557 9 29 2017 247 8424 121 8577 10 31 2017 253 6826 121 8107 11 30 2017 261 4366 122 716 12 29 2017 264 6073 124 9404 1 31 2018 279 5203 120 8728 2 28 2018 269 3568 117 1966 3 29 2018 261 9736 120 548 4 30 2018 263 3276 118 0308 5 31 2018 269 7288 120 3966 6 29 2018 271 28 121 1741 7 31 2018 281 33 119 433 Using the monthly returns, find the values of the following inferences about SPY and TLT, respectively AAR GAR HPR Standard deviation Sharpe ratio VaR (1 ) and Var (5 ) The following table lists the month end prices from May 2017 to July 2018 of the Spider S P 500 Index ETF (SPY) and iShares 20 Treasury Bond ETF (TLT), respectively During this time period the average annual yield for the one month Treasury bills is 1 292 or 0 1077 per month Apply the following equation to calculate the monthly returns from June 2017 to July 2018 for SPY and TLT, respectively The monthly return for month n rn (Current month end price Previous month end price) Previous month end price (Pn Pn 1) Pn 1

Question: Date Adj Close Price P n : SPY Adj Close Price P n : TLT 5/31/2017 235.858 120.4887 6/30/2017 237.3616 121.4428 7/31/2017 242.2404 120.6433 8/31/2017

The following table lists the month-end prices from May 2017 to July 2018 of the Spider S&P 500 Index ETF

Date	Adj Close Price P_n: SPY	Adj Close Price P_n: TLT
5/31/2017	235.858	120.4887
6/30/2017	237.3616	121.4428
7/31/2017	242.2404	120.6433
8/31/2017	242.9471	124.7557
9/29/2017	247.8424	121.8577
10/31/2017	253.6826	121.8107
11/30/2017	261.4366	122.716
12/29/2017	264.6073	124.9404
1/31/2018	279.5203	120.8728
2/28/2018	269.3568	117.1966
3/29/2018	261.9736	120.548
4/30/2018	263.3276	118.0308
5/31/2018	269.7288	120.3966
6/29/2018	271.28	121.1741
7/31/2018	281.33	119.433

Using the monthly returns, find the values of the following inferences about SPY and TLT, respectively.

AAR
GAR
HPR
Standard deviation
Sharpe ratio
VaR (1%) and Var (5%)

The following table lists the month-end prices from May 2017 to July 2018 of the Spider S&P 500 Index ETF (SPY) and iShares 20+ Treasury Bond ETF (TLT), respectively. During this time period the average annual yield for the one-month Treasury bills is 1.292% or 0.1077% per month. Apply the following equation to calculate the monthly returns from June 2017 to July 2018 for SPY and TLT, respectively. The monthly return for month n: rn = (Current month-end price - Previous month-end price) / Previous month-end price = (Pn-Pn-1)/Pn-1

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